His final destination was unknown, although, the flight was said to be going to Singapore.
His deputy Cheam Channy was arrested about six hours later and taken to a military court, party spokesman Ung Bun Ang said.
The government has accused the MP of allegedly building an army as part of a coup plot, which analysts have dismissed as extremely unlikely.
Sam Rainsy's departure and Cheam Channy's arrest came soon after Cambodia's parliament voted behind closed doors to strike down rules protecting them and a third politician from prosecution, clearing the way for the three to face charges, Hun Sen said.
Sam Rainsy briefly attended the session of parliament and told reporters he was "not worried at all about this case," but his party said he left Cambodia later in the morning. It was not revealed when he planned to return.
He has said he feared arrest if his immunity was lifted.
Hun Sen meanwhile said parliament had voted to lift the immunity of the leader of the Sam Rainsy Party and two of his deputies, but insisted this did not mean they would necessarily be convicted.
"Parliament withdrew their immunity because they have violated the rights of others," Hun Sen said.
"Withdrawing their immunity does not mean they will be convicted, but it opens the way for the courts to proceed with the case, following legal procedures." he said.
Cambodian courts are notoriously corrupt.