Zn-alpha(2)-glycoprotein (ZAG) is a member of the major histocompatibility complex (MHC) class I family of proteins and is identical in amino acid sequence to a tumor-derived lipid-mobilizing factor associated with cachexia in cancer patients. ZAG is present in plasma and other body fluids, and its natural function, like leptin's, probably lies in lipid store homeostasis. X-ray crystallography has revealed an open groove between the helices of ZAG's alpha(1) and alpha(2) domains, containing an unidentified small ligand in a position similar to that of peptides in MHC proteins (Sanchez, L. M., Chirino, A. J., and Bjorkman, P. J. (1999) Science 283, 1914-1919). Here we show, using serum-derived and bacterial recombinant protein, that ZAG binds the fluorophore-tagged fatty acid 11-(dansylamino)undecanoic acid (DAUDA) and, by competition, natural fatty acids such as arachidonic, linolenic, eicosapentaenoic, and docosahexaenoic acids. Other MHC class I-related proteins (FcRn, HFE, HLA-Cw*0702) showed no such evidence of binding. Fluorescence and isothermal calorimetry analysis showed that ZAG binds DAUDA with K(d) in the micromolar range, and differential scanning calorimetry showed that ligand binding increases the thermal stability of the protein. Addition of fatty acids to ZAG alters its intrinsic (tryptophan) fluorescence emission spectrum, providing a strong indication that ligand binds in the expected position close to a cluster of exposed tryptophan side chains in the groove. This study therefore shows that ZAG binds small hydrophobic ligands, that the natural ligand may be a polyunsaturated fatty acid, and provides a fluorescence-based method for investigating ZAG-ligand interactions.