We study connections between the $W^1_p$-differentiability and the $L_p$-differentiability of Sobolev functions. We prove that, $W^1_p$-differentiability implies the $L_p$-differentiability, but the opposite implication is not valid. The notion of approximate differentiability is discussed as well. In addition, we consider the $W^1_p$-differentiability of Sobolev functions $\cp_p$-almost everywhere.