Exome sequencing constitutes an important technology for the study of human hereditary diseases and cancer. However, the ability of this approach to identify copy number alterations in primary tumor samples has not been fully addressed. Here we show that somatic copy number alterations can be reliably estimated using exome sequencing data through a strategy that we have termed exome2cnv. Using data from 86 paired normal and primary tumor samples, we identified losses and gains of complete chromosomes or large genomic regions, as well as smaller regions affecting a minimum of one gene. Comparison with high-resolution comparative genomic hybridization (CGH) arrays revealed a high sensitivity and a low number of false positives in the copy number estimation between both approaches. We explore the main factors affecting sensitivity and false positives with real data, and provide a side by side comparison with CGH arrays. Together, these results underscore the utility of exome sequencing to study cancer samples by allowing not only the identification of substitutions and indels, but also the accurate estimation of copy number alterations.