We present the first observational evidence for a collimated jet in a short-period cataclysmic variable system: the recurrent nova T Pyxidis. Optical spectra show bipolar components of H alpha with velocities ~1400 km s-1, very similar to those observed in the supersoft X-ray sources and in SS 433. We argue that a key ingredient of the formation of jets in the supersoft X-ray sources and T Pyx (in addition to an accretion disk threaded by a vertical magnetic field) is the presence of nuclear burning on the surface of the white dwarf.