Shah Mohammed Reza Pahlevi and his wife, Empress Farah, left Tehran and flew to Aswan in Egypt.
The couple's three youngest children were flown to the United States yesterday.
Official reports say the Shah has left for a "vacation" and medical treatment. In fact, he was asked to leave by the man he appointed prime minister earlier this month.
Over the past few months, there have been an increasing number of violent clashes between security forces and anti-Shah demonstrators.
Opposition to the Shah has become united behind the Muslim traditionalist movement led by Iran's main spiritual leader, Ayatollah Ruholla Khomeini, from exile in France.
There have been calls for the Ayatollah's return - and news of the Shah's departure was greeted with mass celebrations across Iran.
British and United States' ex-patriates living in Iran - regarded as symbols of westernization - have been the frequent target of attacks. Thousands have left the country.
Martial law was declared in many cities on 8 September. But later that month, industrial action by thousands of Iranian workers culminated in a mass strike by employees in the oil industry.
The strike sparked riots and rallies across the country in support of the Ayatollah.
Western governments, like the US, UK and West Germany, have continued to express support for the Shah.
The Shah appointed a new military government in early November. But it failed to stem the rising tide of support for the Ayatollah.
Earlier this month he appointed a new prime minister, Dr Shapur Bahktiar. When, on 13 January, the Ayatollah declared a revolutionary Islamic council to replace what he called the "illegal government" of Iran, Dr Bahktiar persuaded the Shah it was time to leave.