Summary: We define the Sobolev space \(W^{1,p}\) for \(1<p\leq\infty\) on an arbitrary metric space with finite diameter and equipped with a finite, positive Borel measure. In the Euclidean case it coincides with standard Sobolev space. Several classical imbedding theorems are special cases of general results which hold in the metric case. We apply our results to weighted Sobolev space with Muckenhoupt weight.