He was met by security officials on the tarmac and transferred into a waiting convoy of cars.
Kyagulanyi had been on an international mobilisation tour for his party.
Police is yet to reveal the reason for his arrest.
However, a day ago police said that Kyagulanyi's supporters would not be allowed to hold a procession welcoming him back into the country.
Several supporters were arrested on Wednesday after attempting to place placards in preparation for Kyagulanyi's return.