Many Somalis resent the presence of the Ethiopian troops
Ethiopian military forces have begun pulling out of Somalia after two years helping the transitional government fight insurgents.
Ethiopian Prime Minister Meles Zenawi's spokesman said the withdrawal would take several days.
A convoy of about 30 Ethiopian vehicles loaded with troops and equipment left the Somali capital, Mogadishu.
Hours earlier a roadside bomb killed two Ethiopian soldiers and a number of civilians died when troops opened fire.
"The withdrawal of our troops from Somalia has entered the implementation phase," Bereket Simon, special adviser to the Ethiopian premier, told Reuters news agency.
"The withdrawal is not an event that can be completed within a day. It will be finalised as quickly as possible."
Ethiopia has suffered a steady drain on its resources and a constant trickle of casualties but has received much blame and scant praise for its deployment, the BBC's Elizabeth Blunt reports from the Ethiopian capital, Addis Ababa.
About 3,400 Ugandan and Burundian peacekeepers from the African Union in Somalia are taking up positions vacated by the Ethiopians.
Witnesses say the start of Friday's withdrawal passed without incident as a convoy of trucks loaded with troops, mattresses and other equipment left Mogadishu.
A long column of vehicles left the capital for the small town of Afgoye, south-west of the capital, on the road to Baidoa and the border.
But at least four civilians died earlier in the day when Ethiopian troops on patrol opened fire after two of their number died in a roadside blast at a busy junction in the south of the capital.
"A bomb exploded near a group of Ethiopian soldiers at the K4 crossroads," Somali police colonel Ali Hasan told AFP news agency.
"There were many civilian victims."
Addis Ababa announced late last year that it would fully withdraw from Somalia by the first days of 2009.
There are fears the withdrawal of the 3,000-strong Ethiopian force could lead to a power vacuum and that violence will continue despite a peace deal between Somalia's transitional government and one of the main opposition factions.
Others say the pullout, together with this week's resignation of President Abdullahi Yusuf, could make it easier for a new government to be formed, including moderate Islamist forces.
The president's critics had accused him of obstructing of a peace deal with the Islamist-led armed opposition.
One hard-line opposition group, al-Shabab, seen as key to any prospect of a lasting peace, is snubbing the idea of power-sharing and has said Somalia risks a new civil war.
Our correspondent says its involvement in Somalia has not been a happy one for Ethiopia.
The first push, at Christmas 2006, went like clockwork. Opposition melted away before the Ethiopians and the transitional government was saved from imminent collapse.
But our correspondent says that the government has not managed to use the time the Ethiopians bought it to establish a soundly based administration while the insurgency has revived in a more extreme form.
Government forces only control parts of Mogadishu and the town of Baidoa.
Somalia has not had an effective national government since 1991.