Blake was shot by a Kenosha police officer on Aug. 23. At the time of the shooting, Blake's family said he was paralyzed from the waist down.
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Blake's attorney did not mention when he was moved from the hospital. And his family did not disclose the name and location of the rehabilitation facility.
Blake spent nearly a month in a Milwaukee hospital bed.
Blake's family said his condition is improving, and he is working hard. He remains paralyzed after bullets to his back fractured two vertebrae.
It's unclear whether he'll regain movement in his lower extremities.
"We don't have any idea how long this paralysis is gonna be," said Jacob Blake III, Blake's father. "It's been rough on everybody."
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From the Chicago rehabilitation center, Blake is able to communicate with his three children through video calls. The family hopes he can connect in person soon.
Blake spoke to supporters through a video call Saturday at a rally in Evanston.
The family has been involved in numerous rallies and demonstrations in Kenosha and around the country since the shooting. They were not involved in the violent demonstrations that destroyed many Kenosha businesses In the days immediately after the shooting.
In a video released last month, Blake spoke from his hospital bed saying, "Please, I'm telling you, change y'all's lives out there; we can stick together, make some money, make everything easier for our people out here man, because there's so much time that has been wasted."
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Three Kenosha police officers remain suspended as Blake's shooting is investigated by the Wisconsin Department of Justice.
Last month, the Wisconsin Department of Justice said it was in the "final stages" of the investigation. Once completed, the findings will go to an independent consultant who will review and help prosecutors make a decision on charges.
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That consultant is former Madison Police Chief Noble Wray, who served as a police reform specialist for the DOJ during the Obama administration.
The shooting led to several days of protests that became violent at times.
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During one of the protests, two people were killed and another injured. Kyle Rittenhouse, a teenager from Antioch, faces charges in connection with the shooting in Wisconsin. He is in Illinois custody awaiting extradition.
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Civil rights leaders are focused on Blake's legal battle, both with the charges he faces, including sexual assault, and possible charges against the officer who shot him.
Prosecutors in Kenosha did not respond to requests for an update on the investigation.
Blake is due back in court later this month.