Dutt, who was convicted in illegal arm possession case in connection with Bombay blasts 1993 case, left his Mumbai home for Pune in early Wednesday morning.
While entering into the prison, Dutt thanked his supporters and media for allowing him to spend some private time with his family.
Pray for me so that I can come out soon. Happy Diwali to all
He was quoted as saying, "I still have a problem in my legs but it is a bit better than before. Pray for me so that I can come out soon. Happy Diwali to all."
The 53-year-old actor was awarded two weeks of leave on medical grounds on Oct 1 and was granted an extension of another two weeks later.
Dutt is serving the remaining 42 months of his sentence. Earlier in 2013, he was convicted by the Supreme Court and sentenced to five years in prison. He has already served 18 months of his term.
A confusion regarding Dutt's jail term remains unsolved. RR Patil, Maharashtra Home Minister recently informed that his ministry has not received any communication from the central government on the issue of granting a remission of sentence or pardon to incarcerated the Bollywood actor.
The actor's sister Priya Dutt, who is also a Congress MP from Mumbai, did not approach state home ministry, informed Patil. Patil's statement surfaced when Bharatiya Janata Party (BJP) member and leader of the opposition in the Maharashtra Legislative Council Vinod Tawade opposed any proposal to grant Sanjay Dutt pardon.