He had been in the Kenyan capital earlier this week en route for South Africa. At the time South African officials said they were unaware of the former leader's impending trip.
"According to his family he has left Nairobi and returned to Cameroon," said Bozizé's advisor, who asked not to be named.
Bozizé's spokesperson on Tuesday said he had left Cameroon on a "private visit" without specifying his destination.
The 66-year-old fled the Central African Republic to Cameroon after a rebel coalition seized power on March 24 in the latest coup in the chronically unstable nation.
The South African minister of International Relations and Cooperation Maite Nkoana-Mashabane said Bozizé had sought refuge in South Africa after rebels overthrew him.
But the Economic Community of Central African States "decided it was best to accommodate him where he was, in Cameroon."
The small west African country of Benin had also offered him asylum.
"We are not in the business of jostling for who takes over the former president. There were many offers from his region and others very close by," said Nkoana-Mashabane.
She refused to speculate on whether South Africa would arrest Bozizé if he lands in the country after the interim government in Bangui secured an international warrant for crimes allegedly committed during his 10 years in power.
His country issued the arrest warrant for charges including 22 murders and 119 "summary executions" as well as numerous abductions and the destruction of nearly 4 000 homes. – Sapa-AFP