The 40-year-old left "of his own volition", the state news agency Xinhua said in a short statement.
Chen is being treated in the VIP department on the ninth floor of Chaoyang hospital, on the east side of the city.
Security was tight at the hospital, where the US ambassador, Gary Locke, was believed to be accompanying Chen.
Chen was seen briefly, pushed along in a wheelchair with several medical staff in white coats around him, one of whom was filming with a video camera.
Chen's wife, Yuan Weijing, who was waiting at the hospital with their 10-year-old son and six-year-old daughter, told the Guardian: "I'm OK. We don't know yet [what's wrong with him]. He's having a check-up."
She said she had arrived in Beijing on Wednesday. Supporters had been concerned for the safety of the family, particularly because Yuan had previously been beaten by their guards in Dongshigu.
ABC News said it was told by sources that Yuan's family had travelled to the capital by high-speed train escorted by Chinese officials.
It also said Chen was accompanied at the hospital by Kurt Campbell, the US assistant secretary of state, who flew to Beijing earlier this week after news broke of the activist's escape, and Harold Koh, the state department's legal adviser.
Nicholas Bequelin, of Human Rights Watch, said he believed Chen would soon be on his way to exile in the US with his family.
"There is no way [Beijing] would put Chen Guangcheng on the streets on the eve of this summit with Clinton in town. If they had been willing to let him live freely in China they would have done that after the end of the Strategic and Economic Dialogue," he said.
News of Chen's departure from the embassy came as China's foreign ministry strongly criticised the US for harbouring the activist. Spokesman Liu Weimin said Beijing was demanding that the US apologise for allowing him to enter the embassy.
"It must be pointed out that the US embassy took the Chinese citizen Chen Guangcheng into the embassy in an irregular manner, and China expresses its strong dissatisfaction over this," Liu said in a statement.
"The US handling of the situation was interference in Chinese domestic affairs, and this is totally unacceptable to China. China demands that the United States apologise over this, thoroughly investigate this incident, punish those who are responsible, and give assurances that such incidents will not recur."
Officials had been scrambling to resolve Chen's future before the arrival in Beijing of the US secretary of state, Hillary Clinton, for bilateral talks. While friends had said Chen was adamant he did not want to leave the country, others asked how China could give adequate guarantees that he and his family would be safe. In the past both he and his wife, Yuan Weijing, have been abducted from the capital by local officials.
Lawyer Teng Biao, a friend and supporter of Chen, tweeted: "Guangcheng and Weijing met in Beijing and didn't have to worry about being kidnapped. Congratulations! This is the first time."
He added: "I don't understand why there's an argument about whether Guangcheng should stay … The more important thing is that there's no possibility Guangcheng can get freedom in China. If [he] wanted to stay and the American government believed China's promises it would 'absolutely' secure his safety and finally [he] walked out of the embassy, the result would be hard to imagine."
Wang Songlian of the Chinese Human Rights Defenders network said it was too soon to tell exactly what the outcome would be, but noted: "If he's going to stay in China, reassurances are not very reassuring because the Chinese government has a record of not honouring its words regarding human rights. If he is leaving for the US that might be happier news. I don't think he would be willing to go without his family. I imagine he wanted to stay in China but realised it was not realistic if he wished to avoid what he has experienced. He would be well aware no place in China is safe for him.
"The most worrying part is his extended family in Shandong and that authorities could retaliate by detaining or torturing them. We know four are in custody and one [his nephew, Chen Kegui] is accused of injuring government officials."
Wang gave short shrift to the Chinese demand that the US say sorry over Chen's case.
"I think it's incredible that the Chinese government would ask for an apology from the US when it has unlawfully put a human rights activist and his family under house arrest for so long," she said.
The self-taught legal activist was initially praised by officials for using his skills to help disabled people and farmers with problems. But he angered local authorities for exposing forced abortions and sterilisations in Linyi city, eastern Shandong province. He was jailed for more than four years on what supporters said were fabricated charges, and he and his family have been under extralegal house arrest in his village of Dongshigu since his release in 2010.
