Weighted Sobolev spaces play a main role in the study of Sobolev orthogonal polynomials. In particular, analytic properties of such polynomials have been extensively studied, mainly focused on their asymptotic behavior and the location of their zeros. On the other hand, the behavior of the Fourier–Sobolev projector allows to deal with very interesting approximation problems. The aim of this paper is twofold. First, we improve a well-known inequality by Lupaş by using connection formulas for Jacobi polynomials with different parameters. In the next step, we deduce Markov-type inequalities in weighted Sobolev spaces associated with generalized Laguerre and generalized Hermite weights.