Mr Chavez announced his return in a series of messages on his Twitter account, saying “we will continue our treatment here”.
They were the first to appear since November 1.
“I’m clinging to Christ and trusting in my doctors and nurses,” Mr Chavez said in another tweet. “Onward toward victory always!! We will live and we will triumph!!”
Mr Chavez also thanked Fidel and Raul Castro, who have overseen his treatment in Cuba, and thanked his country’s people “for so much love”.
His 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 has not spoken publicly since he left for Cuba on December 10. He underwent his fourth cancer-related operation on December 11, and the government says he is now breathing through a tracheal tube that makes talking difficult.
He has been receiving cancer treatment in Cuba on and off since June 2011.
Throughout the treatments he has not revealed the type of cancer or the exact location of the tumours.