Shprygin, whose visa had been cancelled on Monday, could now face a court case, authorities said.
The head of the Russian supporters association, who has been pictured with President Vladimir Putin, was put on a plane to Moscow on Saturday with 19 other fans.
All denied involvement in fan troubles, largely blamed on Russian fans, in Marseille on June 11 and he had vowed to return. An investigation source said it was likely that Shprygin flew to Barcelona and then crossed the frontier to Toulouse in southwest France by road.
Russians jailed for Euro 2016 violence, far-right figure expelled
Russia played their final European Championship game in Toulouse against Wales and lost 3-0.
"Alexander Shprygin was arrested in the stadium this evening and placed in custody," ministry spokesman Pierre-Henry Brandet said.
"His case will be examined and be handled administratively or lead to legal proceedings."
Shortly before his detention, Shprygin told AFP by telephone from the Toulouse stadium that four others among the 20 expelled had also returned to France.
"I am at the match with a ticket," he said, insisting that he had "crossed the Alps" to get into France.
"The French authorities told me I was not deported but just expelled, my Schengen visa has not been cancelled and all the stamps are there. So I can legally be in the European Union."
The interior ministry spokesman said however that Shprygin's visa had been cancelled on Monday and an order banning him from entering France had been issued.
Fans clash in France before high-risk Euro 2016 match
Twenty Russians were banned under the order, the spokesman added.
Russia protested to France over the treatment of its supporters last week.
Shprygin posted photographs of himself outside the stadium on his Twitter account, wearing a blue straw hat and sunglasses.
Russian fans have been accused of staging an orchestrated campaign of violence against England supporters in Marseille.
Thirty-five people were injured, the majority England fans, including two men who are still in a serious state in hospital.
Shprygin, who works for nationalist lawmaker Igor Lebedev, was among 43 Russian fans arrested in southern France three days after the Marseille turmoil.
The fans were on their way to Lille where Russia were playing against Slovakia.
Three of the group were jailed for up to two years for their role in the violence, while six England fans were jailed for up to six months.
Ukraine arrests Frenchman 'planning Euro 2016 attacks'
French investigators believe there were other well-prepared hooligans among the Russian group but they did not have enough evidence to press charges.
The detention of the Russian fans became a diplomatic incident when the Russian government summoned the French ambassador to protest.
Twenty of the group, including Shprygin, were expelled from the country on Saturday and flew from Nice to Moscow.
UEFA fined Russia and handed its football federation a suspended disqualification over the Marseille violence, meaning the team would be thrown out of the tournament if their fans caused more trouble inside stadiums.
Russia's defeat to Wales meant they finished bottom of their group and will leave the tournament.
The Russia-Wales game had been put on a French list of games at high risk of hooligan troubles, mainly because of the battles between Russian and English fans.
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