Does the highest molecular weight one of the protein bands on the gel have the expected molecular weight? One possibility is that you have purified the protein succcessfully by IMAC, but the protein has been clipped by proteases in up to 4 places, but the protein, being exceptionally stable (not denatured by 8M urea), held together through the next chromatography step.

But the first two bands of the gel exists even with an empty vector, which means that these are Pichia proteins, and not mine. 

Possibly chaperones tightly bound. Have you tried 8M urea plus a reducing agent? GuHCl or GuSCN are of course stronger denaturants to try, but SDS does pull them apart so its possible a more subtle (perhaps nonionic) detergent could pull them apart without denaturing your protein fully. I'd consider a detergent screen maybe with MWCO spin filters if the complex is considerably bigger than your protein.

Thank you, Edward! I'm gonna check the possibility to use the detergent strategy next week. Thanks!

Confirm all the bands by Trypsin in-gel digestion using Mass Spectrometry.

• If they are chaperones wash abundantly with lysis buffer additionally containing 1M NaCl, 20% Glycerol, 5mM ATP and 5mM MgCl2.
• If they are host proteins other than chaperones,  give more stringent washes with lysis buffer (u can go up to 1M NaCl).

If everything fails, try Ammonium Sulphate Precipitation or IEC.

I would start with this ATP/Mg wash strategy to remove chaperones, secondly may be some non-ionic detergents (careful to not do denature my protein, if the native form in required).