We analyzed the assembly of caveolae in CV1 cells by following the fate of newly synthesized caveolin‐1 (CAV1), caveolin‐2 and polymerase I and transcript release factor (PTRF)/cavin‐1 biochemically and using live‐cell imaging. Immediately after synthesis in the endoplasmic reticulum (ER), CAV1 assembled into 8S complexes that concentrated in ER exit sites, due to a DXE sequence in the N‐terminal domain. The coat protein II (COPII) machinery allowed rapid transport to the Golgi complex. Accumulating in the medial Golgi, the caveolins lost their diffusional mobility, underwent conformational changes, associated with cholesterol, and eventually assembled into 70S complexes. Together with green fluorescent protein‐glycosyl‐phosphatidylinositol (GFP‐GPI), the newly assembled caveolin scaffolds underwent transport to the plasma membrane in vesicular carriers distinct from those containing vesicular stomatitis virus (VSV) G‐protein. After arrival, PTRF/cavin‐1 was recruited to the caveolar domains over a period of 25 min or longer. PTRF/cavin‐1 itself was present in 60S complexes that also formed in the absence of CAV1. Our study showed the existence of two novel large complexes containing caveolar coat components, and identified a hierarchy of events required for caveolae assembly occurring stepwise in three distinct locations – the ER, the Golgi complex and the plasma membrane.