The former NBA star was accompanied by his estranged wife, Khloe Kardashian, according to sources. They left Las Vegas at about 5 p.m., ESPN reported.
Odom's family says his condition is improving after he was found unconscious at a Nevada brothel a week ago.
Alvina Alston, publicist for Odom's maternal aunt and godmother JaNean Mercer, said Monday that the former reality-TV personality is alert and undergoing testing, but there's no word yet on when he might be released from the hospital.
Mercer said in a statement that Odom is overcoming "insurmountable obstacles" and defying the odds.
Sources told ABC News that since waking up from a coma on Friday, Odom has been able to text, smile and communicate with loved ones. He reportedly gave the doctors a thumbs-up and said "hi" to his estranged wife Khloe Kardashian.
The 35-year-old was rushed to the hospital on Oct. 13 after employees at the Love Ranch brothel in Crystal, Nevada, found him in his VIP suite and called 911.
Dennis Hof, who owns the brothel, said Odom had been taking herbal Viagra and had drunk part of a bottle of cognac. He allegedly racked up an exorbitant bill, which totaled nearly $80,000, during his three-day visit to the Love Ranch.
Hof told ABC News that Odom negotiated the rates himself and was planning on staying there for up to five days.
"There are thousands of celebrities that come to the Bunny Ranch, some of them for extended stays, two, three, four weeks at a time," Hof said. "They are buying a good time at a private environment."
Hof said Odom was the first celebrity to have the women at the brothel sign a confidentiality agreement.
He said he wanted to be alone on Monday night, according to Richard Hunter, media director for the Love Ranch.
"The night before he was hospitalized he had told the girls he had wanted to spend that night alone," Hunter said.
His family, Kardashian and his two kids from a previous relationship, rushed to the Sunrise Hospital in Las Vegas to be by his side following his hospitalization. His children, Destiny and Lamar Jr., were seen smiling in photos after leaving the hospital on Friday.
Kardashian had said her family won't be posting content on their apps while attending to his health crisis.
Kim Kardashian took to social media on Saturday to share her support for Odom, posting a photo on Instagram with the caption, "I have faith in you. I believe in the power of prayer and positive energy! Thank you all for your prayers! Lammy- I'm so happy Kendall & I could make you smile today! God is good!"
Odom last played in the NBA in 2013 with the Los Angeles Clippers. He spent the best years of his career with the Los Angeles Lakers, winning two championship rings and the NBA's Sixth Man of the Year award in 2011.
After seven years in purple and gold, he was crushed in December 2011 when the Lakers attempted to trade him to New Orleans in a multiplayer trade for Chris Paul. He eventually went to Dallas in another deal, but was out of the NBA just two years later.
The Associated Press, ABC News and ESPN contributed to this report.