It is currently thought that all secretory proteins travel together to the Golgi apparatus where they are sorted to different destinations. However, the specific requirements for transport of GPI-anchored proteins from the endoplasmic reticulum to the Golgi apparatus in yeast could be explained if protein sorting occurs earlier in the pathway. Using an in vitro assay that reconstitutes a single round of budding from the endoplasmic reticulum, we found that GPI-anchored proteins and other secretory proteins exit the endoplasmic reticulum in distinct vesicles. Therefore, GPI-anchored proteins are sorted from other proteins, in particular other plasma membrane proteins, at an early stage of the secretory pathway. These results have wide implications for the mechanism of protein exit from the endoplasmic reticulum.