Natural small compounds comprise most cellular molecules and bind proteins as substrates, products, cofactors, and ligands. However, a large-scale investigation of in vivo protein-small metabolite interactions has not been performed. We developed a mass spectrometry assay for the large-scale identification of in vivo protein-hydrophobic small metabolite interactions in yeast and analyzed compounds that bind ergosterol biosynthetic proteins and protein kinases. Many of these proteins bind small metabolites; a few interactions were previously known, but the vast majority are new. Importantly, many key regulatory proteins such as protein kinases bind metabolites. Ergosterol was found to bind many proteins and may function as a general regulator. It is required for the activity of Ypk1, a mammalian AKT/SGK kinase homolog. Our study defines potential key regulatory steps in lipid biosynthetic pathways and suggests that small metabolites may play a more general role as regulators of protein activity and function than previously appreciated.