Dutt, 54, was released on October 1 on a fortnight's medical parole from the high-security prison where he is serving the remainder of his 42-month sentence. He came out for the treatment of blood clots in his legs.
Later, he sought and was granted another fortnight's extension, which ended on Tuesday, an official said.
Dutt was sentenced to five years' jail for illegal possession of firearms from one of the consignments that landed ahead of the March 12, 1993, serial blasts in Mumbai.
Since May 16 this year, he is serving the remaining 42 months of his term at the jail, making paper bags that are sold outside through NGOs.
Dutt, who acted in movies like 'Munnabhai M.B.B.S', 'Lage Raho Munna Bhai' and 'Agneepath' in the last couple of years, left his residence in Mumbai for Yerwada Central Jail, Pune, at 6:30 a.m. Wednesday.
"I thank you for all the support. I wish everyone a happy Diwali," Dutt told waiting media persons shortly before his departure from his home.
He was accompanied till the prison gates by his wife Manyata and some close family friends.
This year, Dutt will spend Diwali in the jail with other inmates.
On Monday Dutt told reporters, "I still have a problem in my legs, but it is better now. Pray for me, so that I can come out soon. Happy Diwali to all.”
His last release was 'Policegiri', which hit the screens after he went to the jail.
Since his release on parole, there has been widespread speculation that Dutt may be granted a remission of sentence or a pardon.
However, last Friday state Home Minister R.R. Patil scotched all rumours and asserted that he has not received any communication from the centre to the effect.
Besides, Patil pointed out that even the actor's family members, who include his sister and Congress MP Priya Dutt, have not made any such request.
The state unit of Bharatiya Janata Party has already expressed its strong opposition to any proposal to grant a pardon to the actor as, it said, it could send wrong signals in society and encourage other convicts to seek pardon.