Brazil's Foreign Minister, Celso Amorim, warned that any threat to Mr Zelaya or the Brazilian embassy would be a grave breach of international law.
Mr Zelaya's return took officials by surprise, with Mr Micheletti at first denying the deposed leader was in the country.
As tension inside Honduras increased, US Secretary of State Hillary Clinton said Mr Zelaya's return must not lead to violence.
"It's imperative that dialogue begin... (that) there be a channel of communication between President Zelaya and the de facto regime in Honduras," she said.
Mrs Clinton spoke in New York after talks with Costa Rican President Oscar Arias, who has brokered failed peace talks between the two Honduran parties.
In images broadcast on national television, a smiling Mr Zelaya wearing his trademark white cowboy hat appeared on the balcony of the Brazilian embassy waving to a crowd of supporters.
Charles Scanlon, BBC Americas analyst
It looks like the nightmare scenario for the coup leaders. They've done everything in their power to prevent Manuel Zelaya's return - sending soldiers to prevent his plane landing in the days after the coup, and later to the border to stop him crossing from Nicaragua.
The confirmation that Mr Zelaya is back will have come as a humiliation for Roberto Micheletti and damaged his authority inside the country.
The interim government has been condemned around the world for the coup, but has consolidated its control. Mr Zelaya's return now brings the crisis back to the boil.
The interim government has been playing for time - hoping to cling to power until new elections set for November. It is no longer in control of events and looks more vulnerable than at any time since the coup.
Shortly afterwards, officials imposed a 15-hour curfew, starting at 1600 (2200 GMT) on Monday.
Officials later extended it to a 26-hour shutdown of Tegucigalpa - until 1800 (0000 GMT) on Tuesday - and closed the country's airports. The police and army have been put on stand-by.
Correspondents said many of Mr Zelaya's supporters were defying the curfew, and remained outside the embassy dancing and cheering.
The president has been living in exile in Nicaragua since being ousted at gunpoint on 28 June.
The crisis erupted after Mr Zelaya tried to hold a non-binding public consultation to ask people whether they supported moves to change the constitution.
The US has backed Mr Zelaya during his exile and criticised the interim leaders for failing to restore "democratic, constitutional rule". The Organization of American States (OAS) has demanded Mr Zelaya's reinstatement.
Speaking to the BBC from inside the Brazilian embassy, Mr Zelaya said he had received support from various quarters in order to return.
"[We travelled] for more than 15 hours... through rivers and mountains until we reached the capital of Honduras," he said.
"We overcame military and police obstacles, all those on the highways here, because this country has been kidnapped by the military forces."
He said he was consulting sectors of Honduran society and the international community in order "to start the dialogue for the reconstruction of the Honduran democracy".
Mr Amorim said neither Brazil nor the OAS had played any part in Mr Zelaya's return.
The interim government has repeatedly threatened to arrest Mr Zelaya, should he return, and charge him with corruption.
Mr Zelaya urged the armed forces not to use violence against demonstrators.
The OAS, meeting in emergency session, called for calm.
Clinton: It's imperative that dialogue begins
In a statement, OAS Secretary General Jose Miguel Insulza told Honduran authorities they were responsible for the security of Mr Zelaya and the Brazilian embassy.
Mr Insulza said that he was ready to travel to Honduras as soon as possible.
As reports that Mr Zelaya had surfaced in Tegucigalpa began to come through, Mr Micheletti appeared to be caught off-guard, insisting Mr Zelaya had not left neighbouring Nicaragua.
Mr Micheletti has vowed to step aside after presidential elections are held on 29 November. But he has refused to allow Mr Zelaya to return to office in the interim.
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