Delegations from all over Afghanistan - holding flowers and pictures of the former king - are overjoyed at his return, the BBC's Kate Clark reports.
Zahir Shah:
Several people said they had not slept all night - and one woman said she did not know whether to laugh or cry.
Travelling on an Italian military aircraft, the 87-year-old former monarch was accompanied by Afghanistan's interim leader, Hamid Karzai, and six government ministers.
But a bomb blast which reportedly killed three people in the southeastern town of Khost on Thursday served to heighten security concerns.
The Afghan Islamic Press agency said the blast happened in a busy market and a number of people were also injured. It was the third in the town since the fall of the Taleban regime.
In Kabul, all roads around the airport were sealed off and two dozen police were stationed around the house where Zahir Shah and his family will live.
Symbol of past
The ex-king is seen as a symbol of a kinder, pre-war Afghanistan, our correspondent says.
His return had been postponed several times, due to security concerns.
Last week, there was an assassination attempt on the Afghan defence minister, and early this month more than 200 people were arrested on suspicion of planning a bombing campaign against the ex-king and Mr Karzai.
Zahir Shah's family is no stranger to political violence; he came to the throne in 1933 after his father, Nadir Shah, was assassinated.
Italian security
Italian security forces, Afghan guards and the international force in Kabul are taking part in the operation to protect him.
Once home, a special detachment of 40 carabinieri will continue to protect the king in his newly restored villa in Kabul for several months while they train his own security personnel.
For Mr Karzai's administration, the return of Zahir Shah is a litmus test of how safe Kabul now is.
"We have done what we can, but we cannot rule out an incident," said defence ministry spokesman Mir Jan.
Mr Karzai, along with many ordinary Afghans and Western officials, is hopeful that Zahir Shah will act as a unifying figure for Afghanistan's many ethnic groups.
But observers say some powerful figures - including members of the Northern Alliance - are wary of his return, fearing it could provide a rallying point for their opponents.
The former monarch has been living with his family in a gated community in a Roman suburb ever since he was deposed.
He was toppled in a palace coup by one of his cousins while he was on a holiday in the Italian capital 29 years ago.
Zahir Shah - a Pashtun - ruled Afghanistan for 40 years.
He has said that he is not coming with the intention of reclaiming the throne of Afghanistan, but he is expected to open the loya jirga or grand tribal council to be convened in June.
Loya jirga
The loya jirga, to which elections have begun, will choose an 18-month transitional government to replace Mr Karzai's interim administration.
Some reports have also suggested that he would agree to lead Afghanistan again if the loya jirga asked him to do so.
Although the country appears to be moving towards an elected administration, there are increasing worries about a resurgence of al-Qaeda and Taleban activity, especially as the weather in the mountains improves.