Lastor already said what I was going to point out so I am not going to repeat that. I'll just add some other things.

I tried timing your solution with a bunch of other solutions I came up with. Among these the one with best time-memory combination should be the function mysort3 as it gave me best timing in nearly all cases. I am still looking about proper timing in Python. You can try putting in different test cases in the function tests to test the timing for yourself.

def mysort(words):
    mylist1 = sorted([i for i in words if i[:1] == "s"])
    mylist2 = sorted([i for i in words if i[:1] != "s"])
    list = mylist1 + mylist2
    return list

def mysort3(words):
    ans = []
    p = ans.append
    q = words.remove
    words.sort()
    for i in words[:]:
        if i[0] == 's':
            p(i)
            q(i)
    return ans + words

def mysort4(words):
    ans1 = []
    ans2 = []
    p = ans1.append
    q = ans2.append
    for i in words:
        if i[0] == 's':
            p(i)
        else:
            q(i)
    ans1.sort()
    ans2.sort()
    return ans1 + ans2

def mysort6(words):
    return ( sorted([i for i in words if i[:1] == "s"]) +
              sorted([i for i in words if i[:1] != "s"])
             )

if __name__ == "__main__":
    from timeit import Timer
    def test(f):
        f(['a','b','c','abcd','s','se', 'ee', 'as'])

    print Timer(lambda: test(mysort)).timeit(number = 10000)
    print Timer(lambda: test(mysort3)).timeit(number = 10000)
    print Timer(lambda: test(mysort4)).timeit(number = 10000)
    print Timer(lambda: test(mysort6)).timeit(number = 10000)

Lastor already said what I was going to point out so I am not going to repeat that. I'll just add some other things.

I tried timing your solution with a bunch of other solutions I came up with. Among these the one with best time-memory combination should be the function mysort3 as it gave me best timing in nearly all cases. I am still looking about proper timing in Python. You can try putting in different test cases in the function tests to test the timing for yourself.

def mysort(words):
    mylist1 = sorted([i for i in words if i[:1] == "s"])
    mylist2 = sorted([i for i in words if i[:1] != "s"])
    list = mylist1 + mylist2
    return list

def mysort3(words):
    ans = []
    p = ans.append
    q = words.remove
    words.sort()
    for i in words[:]:
        if i[0] == 's':
            p(i)
            q(i)
    return ans + words

def mysort4(words):
    ans1 = []
    ans2 = []
    p = ans1.append
    q = ans2.append
    for i in words:
        if i[0] == 's':
            p(i)
        else:
            q(i)
    ans1.sort()
    ans2.sort()
    return ans1 + ans2

def mysort6(words):
    return ( sorted([i for i in words if i[:1] == "s"]) +
              sorted([i for i in words if i[:1] != "s"])
             )

if __name__ == "__main__":
    from timeit import Timer
    def test(f):
        f(['a','b','c','abcd','s','se', 'ee', 'as'])

    print Timer(lambda: test(mysort)).timeit(number = 10000)
    print Timer(lambda: test(mysort3)).timeit(number = 10000)
    print Timer(lambda: test(mysort4)).timeit(number = 10000)
    print Timer(lambda: test(mysort6)).timeit(number = 10000)