AGN winds are often invoked to play a key role in the evolution of galaxies. In fact, they can perturb and possibly expel most of the gas out of the host galaxy, offering a plausible physical origin for the co-evolution of supermassive black holes and galaxies. As AGN winds propagate into the interstellar medium (ISM), they can induce shocks in the ISM, which, in turn, can accelerate relativistic particles. The interactions of shock- accelerated particles with surrounding ISM and interstellar radiation field can produce non-thermal emission in the gamma-ray band. I'll show the contribution to the extragalactic gamma-ray background from AGN winds obtained by including a physical model for the gamma-ray emission produced by relativistic particles accelerated by AGN-driven shocks into a state-of-the-art semi-analytic model of galaxy formation. I'll also compare the model prediction for the cumulative neutrino background from AGN winds with the most recent IceCube data.