"I am here to support peace and democracy, but more urgent is the fight against poverty," he told supporters at his home in the capital Antananarivo.
Madagascar has on several occasions blocked Ravalomanana's return to the Indian Ocean island since his rival Andry Rajoelina seized power.
In 2012, a plane carrying him was turned back in mid-flight when he tried to return home after nearly three years in exile.
Ravalomanana first fled to Swaziland after the coup and later moved to South Africa.
A spokesman for the South African department of international relations, Clayson Monyela said he had no details of Ravalomanana's return.
Political stability is slowly returning to Madagascar after an election this year which saw Rajoelina relinquish power.
The country was also reinstated into the Southern African Development Community and African Union after being suspended over its chaotic political affairs.
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