Princess Stephanie of Monaco looked on as Baby and Nepal, who had been ordered killed over suspected tuberculosis, were loaded into containers and lifted onto a truck for the eight-hour journey to the principality.
The princess has agreed to host the two elephants, aged 42 and 43, at the royal family's Roc Agel ranch in the Alpes-Maritimes region in the southeastern corner of France.
"Everything went really well," zoo director Xavier Vaillant told AFP after the elephants' departure.
The elephants were to be put down in December, when municipal officials in Lyon decided they had almost certainly been infected with TB and warned they could be a threat to the health of other animals and visitors to the Tete d'Or zoo in the city.
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Authorities later lifted the threat of execution after an outcry that saw film-star-turned-animal-rights campaigner Brigitte Bardot threaten to quit the country for Russia if they were killed.
More than 11,000 people signed a petition urging that the elephants not be killed and their former owner, the Pinder circus, called for the president to issue a stay of execution.