Djokovic arrived at Melbourne's Park Hotel, the same immigration detention hotel where he was held last week, just before 3:30 pm (0430 GMT), according to a Reuters witness.
About a dozen refugee activists chanted "stop the torture... let them out" as Djokovic and Border Force guards drove into the underground garage of the hotel, which is also being used to hold 33 asylum seekers and travellers in Covid-19 quarantine.
A man cycling past the hotel shouted: "Go home, Novak!"
It will be a second stint in detention for Djokovic, who spent his first four nights in Australia in hotel detention before a judge freed him on Monday after finding a decision to cancel his visa on arrival had been unreasonable.
Immigration Minister Alex Hawke decided to cancel the Serbian superstar's visa because his presence could foster opposition to Covid-19 vaccination in Australia, court documents released after an initial hearing in the Federal Court on Saturday showed.
"Although I ... accept that Mr Djokovic poses a negligible individual risk of transmitting Covid-19 to other persons, I nonetheless consider that his presence may be a risk to the health of the Australian community," Hawke said in a letter to Djokovic and his legal team.
This explanation in Djokovic's affidavit is more detailed than the brief statement Hawke released on Friday, which said his decision was based on "health and good order grounds".
Justice David O'Callaghan set a hearing on Djokovic's appeal for 9:30 a.m. on Sunday (2230 GMT on Saturday), with the question of whether it would be held before a single judge or a full-court still to be determined.
Djokovic's lawyers said on Friday they would argue deportation would only further fan anti-vaccine sentiment and would be as much a threat to disorder and public health as letting him stay and exempting him from Australia's requirement that all visitors be vaccinated.
A court order on Friday night had required the 34-year-old to surrender to immigration officials for an interview on Saturday morning before he would be taken to his lawyers' officers for the preliminary hearing. After leaving his lawyers, he was to be taken into immigration detention.
Border Force and the immigration minister's office did not immediately respond to requests for comment on whether Djokovic had attended the interview.
The government has said it would not deport Djokovic until his appeal has been heard. Djokovic wants to be able to defend his title at the Australian Open, which begins on Monday.