Understanding the early evolution and diversification of eukaryotes relies on a fully resolved phylogenetic tree. In recent years, most eukaryotic diversity has been assigned to six putative supergroups, but the evolutionary origin of a few major "orphan" lineages remains elusive. Two ecologically important orphan groups are the heterotrophic Telonemia and Centroheliozoa. Telonemids have been proposed to be related to the photosynthetic cryptomonads or stramenopiles and centrohelids to haptophytes, but molecular phylogenies have failed to provide strong support for any phylogenetic hypothesis. Here, we investigate the origins of Telonema subtilis (a telonemid) and Raphidiophrys contractilis (a centrohelid) by large-scale 454 pyrosequencing of cDNA libraries and including new genomic data from two cryptomonads (Guillardia theta and Plagioselmis nannoplanctica) and a haptophyte (Imantonia rotunda). We demonstrate that 454 sequencing of cDNA libraries is a powerful and fast method of sampling a high proportion of protist genes, which can yield ample information for phylogenomic studies. Our phylogenetic analyses of 127 genes from 72 species indicate that telonemids and centrohelids are members of an emerging major group of eukaryotes also comprising cryptomonads and haptophytes. Furthermore, this group is possibly closely related to the SAR clade comprising stramenopiles (heterokonts), alveolates, and Rhizaria. Our results link two additional heterotrophic lineages to the predominantly photosynthetic chromalveolate supergroup, providing a new framework for interpreting the evolution of eukaryotic cell structures and the diversification of plastids.