The AP adaptor complexes are best known for forming the inner layer of clathrin coats on spherical vesicles. AP complexes also have many clathrin-independent roles in tubulovesicular membrane traffic, whose structural and mechanistic basis has been a mystery. HIV-1 Nef hijacks the AP-1 complex to sequester MHC-I internally, evading immune detection. We found that AP-1:Arf1:Nef:MHC-I forms a coat on tubulated membranes in the absence of clathrin, and determined its structure by cryo-ET. The coat assembles both laterally and axially via an Arf1 dimer interface not seen before. Nef recruits MHC-I, but is not essential for the underlying AP-1:Arf1 lattice. Consistent with a role for AP-1:Arf1 coated tubules as intermediates in clathrin coated vesicle formation, AP-1 positive tubules are enriched in cells upon clathrin knockdown, with or without Nef. Nef localizes preferentially to AP-1 tubules in cells, explaining how Nef can sequester MHC-I. The coat contact residues are conserved across Arf isoforms and across the Arf-dependent AP adaptors AP-1, 3, and 4. These findings reveal that AP complexes can self-assemble with Arf1 into tubular coats in the absence of clathrin or other scaffolding factors. The AP-1:Arf1 coat defines the structural basis of a broader class of tubulovesicular membrane coats, as an intermediate in clathrin vesicle formation from internal membranes, and as a MHC-I sequestration mechanism in HIV-1 infection.