We study the inclusion of tempered ultradistributions (or functions of slow growth) in the notion of classical Sobolev spaces. We investigate basically the properties of tempered ultradistribution spaces in Sobolev spaces. Our new Sobolev space preserving the original properties and condition whose derivatives are linear continuous operators embedding in $L^p$ for $1\leq p\leq \infty$ is characterized. Moreover, we also consider some Sobolev embedding theorems involving rapidly decreasing functions, and finally, we prove the extension of Rellich's compactness theorem.