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In this paper, we propose a new distillation method for extracting knowledge from Large Foundation Models (LFM) into lightweight models, introducing a novel supervision mode that does not require manually annotated data. While LFMs exhibit exceptional zero-shot classification abilities across datasets, relying solely on LFM-generated embeddings for distillation poses two main challenges: LFM's task-irrelevant knowledge and the high density of features. The transfer of task-irrelevant knowledge could compromise the student model's discriminative capabilities, and the high density of features within target domains obstructs the extraction of discriminative knowledge essential for the task. To address this issue, we introduce the Proxy Relational Graph (PRG) method. We initially extract task-relevant knowledge from LFMs by calculating a weighted average of logits obtained through text prompt embeddings. Then we construct sample-class proxy graphs for LFM and student models, respectively, to model the correlation between samples and class proxies. Then, we achieve the distillation of selective knowledge by aligning the relational graphs produced by both the LFM and the student model. Specifically, the distillation from LFM to the student model is achieved through two types of alignment: 1) aligning the sample nodes produced by the student model with those produced by the LFM, and 2) aligning the edge relationships in the student model's graph with those in the LFM's graph. Our experimental results validate the effectiveness of PRG, demonstrating its ability to leverage the extensive knowledge base of LFMs while skillfully circumventing their inherent limitations in focused learning scenarios. Notably, in our annotation-free framework, PRG achieves an accuracy of 76.23\% (T: 77.9\%) on CIFAR-100 and 72.44\% (T: 75.3\%) on the ImageNet-1K.