The nonclassical major histocompatibility complex class I molecule HLA-E acts as a ligand for CD94/NKG2 receptors on the surface of natural killer cells and a subset of T cells. HLA-E presents closely related nonameric peptide epitopes derived from the highly conserved signal sequences of classical major histocompatibility complex class I molecules as well as HLA-G. Their generation requires cleavage of the signal sequence by signal peptidase followed by the intramembrane-cleaving aspartic protease, signal peptide peptidase. In this study, we have assessed the subsequent proteolytic requirements leading to generation of the nonameric HLA-E peptide epitopes. We show that proteasome activity is required for further processing of the peptide generated by signal peptide peptidase. This constitutes the first example of capture of a naturally derived short peptide by the proteasome, producing a class I peptide ligand.