Mr Nkurunziza was in Tanzania when the coup was launched after protests against his bid for a third term.
He arrived in Bujumbura in a huge convoy and was met by supporters dancing and celebrating. He is expected to address the nation later.
More than 105,000 people have fled the country since the unrest began last month, the UN says.
After returning from Tanzania, Mr Nkurunziza initially travelled to his northern hometown of Ngozi, before continuing to Bujumbura.
He arrived in a huge convoy and was met by supporters in party colours dancing and celebrating, a BBC journalist in the capital reports.
He is expected to address the nation later.
Nkurunziza to address rally
The situation in Burundi still seems to be precarious as it emerged that embattled President Pierre Nkurunziza has delayed his return to the capital Bujumbura.
According to media reports, Nkurunziza, whose quest for a ‘third term’ triggered off widespread riots that culminated in an attempted coup on Wednesday, May 13, is set to address a rally in his home town of Ngozi in the north of the country, later today.
On that day disgruntled soldiers led by a former intelligence chief Major General Godefroid Niyombare announced that they had toppled the government of President Nkurunziza, while the Head of State was attending the East African Summit on Burundi in Dar es Salaam, Tanzania.
But in a strange twist of events later in the day the coup was reversed by loyalist troops led by the army Chief of Staff General Prime Niyongabo, paving the way for Nkurunziza to return home on Thursday evening.
It is said the Head of State has not been seen in public since his return to the country but this has not helped the coup plotters, as several of them including a former defence minister, General Cyrille Ndayirukiye have been arrested. Also among those arrested are several police officers.
While his whereabouts are still a well-kept secret, President Nkurunziza has since thanked his loyalist troops for averting the coup and urged the plotters to apologise to the nation.