We show that, for β≥1, the semigroups of β-Laguerre and β-Jacobi processes of different dimensions are intertwined in analogy to a similar result for β-Dyson Brownian motion recently obtained in Ramanan and Shkolnikov (Intertwinings of β-Dyson Brownian motions of different dimensions, 2016. arXiv:1608.01597). These intertwining relations generalize to arbitrary β≥1 the ones obtained for β=2 in Assiotis et al. (Interlacing diffusions, 2016. arXiv:1607.07182) between h-transformed Karlin–McGregor semigroups. Moreover, they form the key step toward constructing a multilevel process in a Gelfand–Tsetlin pattern leaving certain Gibbs measures invariant. Finally, as a by-product, we obtain a relation between general β-Jacobi ensembles of different dimensions.