He left from his Bandra residence, accompanied by his friend Bunty Walia, on Saturday afternoon.
Sanjay was released from Yerwada jail on one-month parole on December 21, 2013 as he had to tend to his ailing wife Maanyata. The parole was extended by a month till February 21 and then again till March 21.
Sanjay is serving the remaining 42 months of his sentence for illegal possession of arms in a case related to the 1993 Mumbai serial blasts.
There was a lot of controversy and protests regarding Dutt's parole extension with many Bollywood actors and politicians questioning the extension.