Her ally, former presidential candidate Edmundo Gonzalez, has demanded she be freed immediately.
Machado's detention on Thursday is by far the most significant in a series of arrests of opposition figures after a disputed July election and bodes badly for Gonzalez's promised return to the country ahead of the Friday inauguration of President Nicolas Maduro for a third term.
Venezuelan opposition leader Maria Corina Machado surrounded by supporters in Caracas, Venezuela. (AP PHOTO)
Earlier, Machado's Vente Venezuela movement said she was "violently intercepted" leaving a march in eastern Caracas, and that the motorcycle caravan in which she was riding had been shot at.
The opposition are protesting around the country in an eleventh-hour effort to put pressure on Maduro.
Both the opposition and the ruling party claim to have won last year's presidential election.
The country's electoral authority and top court say Maduro, whose time in office has been marked by a deep economic and social crisis, won the July vote, though they have never published detailed tallies.
The government, who has accused the opposition of fomenting fascist plots against it, has said it will arrest Gonzalez should he return to the country and has detained prominent opposition members and activists in the lead-up to the inauguration.
Gonzalez, 75, has been on a tour of the Americas this week and met with US President Joe Biden, and President-elect Donald Trump's national security adviser.
The White House and US State Department did not immediately respond to requests for comment on reports of Machado's arrest.
Venezuela's Ministry of Information did not immediately respond to questions about Machado's whereabouts, while the attorney-general said in a message to Reuters he would not be commenting.
"Whatever they do, tomorrow they will finally bury themselves," Machado said during the protest.
"Let no one be in doubt, what they do tomorrow marks the end of the regime."
Machado's appearance marked her first public outing since August when she went into hiding at an unknown location.
Machado, 57, had urged protesters to peacefully flood the streets and repeatedly asked members of the police and military - who guarded polling stations during the election - to back Gonzalez's victory.
"I'm not afraid, I lost my fear a long time ago," said 70-year-old Neglis Payares, a retired central bank worker, as she gathered with other opposition supporters in western Caracas in the morning.
Reuters witnesses estimated some 7000 people had gathered in Caracas. In the days after the election, thousands also took to the streets.
Maduro, 62, has been in power since 2013. He has the vociferous support of leaders in the armed forces and the intelligence services, which are run by close allies of powerful Interior Minister Diosdado Cabello.
The government has detained several high-profile politicians and activists, including a former presidential candidate. This week, the attorney-general's office said it had freed more than 1500 of the 2000 people, including teenagers, detained during post-election protests.
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