Lipids are unevenly distributed within eukaryotic cells, thus defining organelle identity. How non-vesicular transport mechanisms generate these lipid gradients between membranes remains a central question. Here using quantitative, real-time lipid transport assays, we demonstrate that Osh4p, a sterol/phosphatidylinositol-4-phosphate (PI(4)P) exchanger of the ORP/Osh family, transports sterol against its gradient between two membranes by dissipating the energy of a PI(4)P gradient. Sterol transport is sustained through the maintenance of this PI(4)P gradient by the PI(4)P-phosphatase Sac1p. Differences in lipid packing between membranes can stabilize sterol gradients generated by Osh4p and modulate its lipid exchange capacity. The ability of Osh4p to recognize sterol and PI(4)P via distinct modalities and the dynamics of its N-terminal lid govern its activity. We thus demonstrate that an intracellular lipid transfer protein actively functions to create a lipid gradient between membranes.