The government of Swaziland said Madagascar's ousted president Marc Ravalomanana is in the country.
Mr. Ravalomanana's whereabouts had been unknown since he was forced to resign more than a week ago.
Clifford Mamba, an official in Swaziland's foreign affairs ministry, said the deposed leader arrived on Monday.
He said Mr. Ravalomanana has come to meet with King Mswati III, who chairs the security committee of the Southern African Development Community.
The 15-nation bloc has condemned the seizure of power in Madagascar by former opposition leader Andry Rajoelina.
The Associated Press said Swaziland will host a summit of the South African group next week to discuss possible action against Mr. Rajoelina.
In Madagascar, anti-Rajoelina demonstrators rallied in the capital Antananarivo Tuesday for the second straight day.
Mr. Rajoelina, the former mayor of Antananarivo, came to power on a wave of protests that began in January.
Many nations said Mr. Rajoelina's assumption of power was nothing less than a coup.
The African Union suspended Madagascar's membership last Friday, and the United States and Norway have cut all non-humanitarian aid.
Mr. Rajoelina has said he will hold elections within 24 months - a timeframe former colonial power France has said is too long.
Some information for this report was provided by AP.