Non‐conventional major histocompatibility complex class I molecules are involved in a variety of physiological functions, most at the periphery of the immune system per se. Zinc‐α2‐glycoprotein (ZAG), the sole soluble member of this superfamily has been implicated in cachexia, a poorly understood yet life‐threatening, severe wasting syndrome. To further ascertain the role of ZAG in lipid metabolism and perhaps the immune system, we inactivated both ZAG alleles by gene targeting in mice. Subjecting these ZAG deficient animals to standard or lipid rich food regimens led to increased body weight in comparison to identically treated wild‐type mice. This phenotype appeared to correlate with a significant decrease in adipocytic lipolysis that could not be rescued by several pharmacological agents including β3‐adrenoreceptor agonists. Furthermore, in contrast to previously reported data, ZAG was found to be ubiquitously and constitutively expressed, with an especially high level in the mouse liver. No overt immunological phenotype was identified in these animals.