The fractional Laplacian operator Δs is the infinitesimal generator of the isotropic (2s)-stable Lévy process on Rn, which is the scaling limit of the Lévy flight with isotropic power law measure |x|−n−2s. However, their second and higher moments are divergent, leading to the difficulty in the modeling of practical physical processes. Replacing |x|−n−2s by the measure of an isotropic tempered power law with the tempering exponent λ (i.e., e−λ|x||x|−n−2s), the tempered fractional Laplacian operator (Δ+λ)s was introduced in [17] as the infinitesimal generator of the tempered Lévy process. In this paper, guided by the fractional Sobolev spaces Ws,p corresponding to the fractional Laplacian operator Δs, we deal with the tempered fractional Sobolev spaces Ws,λ,p associated with the tempered fractional Laplacian (Δ+λ)s. First, the definition of the tempered fractional Sobolev spaces Ws,λ,p is given via the Gagliardo approach, and some of their basic properties were studied. Subsequently, we focus on the Hilbert case Hs,λ based on the Fourier transform. In particular, we deal with its relation with the tempered fractional Sobolev space Ws,λ,2 and analyze their role in the trace theory, overcoming the challenges posed by the tempering exponent λ. Then we investigate the asymptotic behavior of λ→0+,s→1− and s→0+ that appear in the definition of the tempered fractional Laplacian operator (Δ+λ)s. Moreover, we show continuous and compact embeddings investigating the problem of the extension domains and the generalized Hölder regularity results. As an application of the tempered fractional Sobolev spaces, we prove that the process defined by the tempered Lévy process is a solution of some PDE with tempered fractional Lapalcian operator.