The 76-year-old film director arrived at the Lake Geneva festival in a sport utility vehicle with tinted windows to watch actress and singer Emmanuelle Seigner, 44.
When Polanski emerged, he brushed his fingers through his hair then was ushered into a lift. Security personnel protected him from photographers.
In an interview with Swiss television Polanski thanked the millions of people who sent him messages of support during his house arrest.
Polanski went on the run from the US in the 1970s amid allegations he drugged and raped a 13-year-old American girl at the home of actor Jack Nicholson. In a plea-bargaining deal, he admitted to unlawful sex with an underage girl.
The Oscar-winning director was freed on Monday from seven months of house arrest at his Swiss chalet when Switzerland's government refused to extradite him.
Before that, he served two months in prison as the Swiss government pondered whether he should be handed over to US authorities to be sentenced for the charges whjich date from 1977.
Polanski still faces an Interpol warrant in effect for 188 countries.
"For the moment, I'm happy to be free and to be able to do the things I was kept from doing," Polanski said.
He said his son cut off his electronic tag.