Abstract. Let λ > 0, α > 1, and let W (x) = exp(−|x| α ), x ∈ R. Let ψ ∈ L ∞ (R) be positive on a set of positive measure. For n ≥ 1, one may form Sobolev orthonormal polynomials (q n ), associated with the Sobolev inner productWe establish strong asymptotics for the (q n ) in terms of the ordinary orthonormal polynomials ( p n ) for the weight W 2 , on and off the real line. More generally, we establish a close asymptotic relationship between ( p n ) and (q n ) for exponential weights W = exp(−Q) on a real interval I , under mild conditions on Q. The method is new and will apply to many situations beyond that treated in this paper.