Chavez announced his return in a series of message on his Twitter account, saying "we will continue our treatment here."
They were the first messages to appear on Chavez's Twitter account since Nov. 1.
"I'm clinging to Christ and trusting in my doctors and nurses," Chavez said in another tweet. "Onward toward victory always!! We will live and we will triumph!!"
Vice President Nicolas Maduro said on television that Chavez at arrived at 2:30 a.m. and was at a military hospital in Caracas.
Chavez also thanked Fidel and Raul Castro, who have overseen his treatment in Cuba, and thanked his country's people "for so much love."
Chavez's return to Caracas came less than three days after the government released the first photos of the president in more than two months, showing images of him smiling alongside his daughters.
The 58-year-old president hasn't spoken publicly since he left for Cuba on Dec. 10. He underwent his fourth cancer-related surgery on Dec. 11, and the government says he is now breathing through a tracheal tube that makes talking difficult.
Chavez is also undergoing other treatments that have not been specified.
He has been receiving cancer treatment in Cuba on-and-off since June 2011. He has said he has had tumors removed from his pelvic region and has undergone chemotherapy and radiation treatment.
Throughout the treatments, Chavez has not revealed the type of cancer or the exact location of the tumors.
Ian James on Twitter: http://twitter.com/ianjamesap