Lipids can play important roles in modulating membrane protein structure and function. However, it is challenging to identify natural lipids bound to membrane proteins in complex bilayers. Here, we developed lipidomic lipid exchange-mass spectrometry (LX-MS) to study the lipid affinity for membrane proteins on a lipidomic scale. We first mix membrane protein nanodiscs with empty nanodiscs that have no embedded membrane proteins. After allowing lipids to passively exchange between the two populations, we separate the two types of nanodiscs and perform lipidomic analysis on each with liquid chromatography and MS. Enrichment of lipids in the membrane protein nanodiscs reveals the affinity of individual lipids for binding the target membrane protein. We apply this approach to study three membrane proteins. With the Escherichia coli ammonium transporter AmtB and aquaporin AqpZ in nanodiscs with E. coli polar lipid extracts, we detected binding of cardiolipin and phosphatidyl-glycerol lipids to the proteins. With the acetylcholine receptor in nanodiscs with brain polar lipid extracts, we discovered a complex set of lipid interactions that depended on the head group and tail composition. Overall, lipidomic LX-MS provides a detailed understanding of the lipid-binding affinity and thermodynamics for membrane proteins in complex bilayers and provides a unique perspective on the chemical environment surrounding membrane proteins.