Mr. Zelaya is seeking safe passage to leave the embassy and travel to another country without being arrested on corruption charges brought by the interim government.
The Mexican government has sent a plane to the Honduran capital Tegucigalpa to pick up Mr. Zelaya and fly him to Mexico.
But the ousted president says he wants to leave Honduras with the recognition that he is the lawfully elected president. Mr. Zelaya also says he is not seeking political asylum in any country.
Mr. Zelaya was overthrown on June 28 and forced into exile. The interim government says it ousted the president because he was trying to illegally change the constitution to extend his time in office.
Mr. Zelaya made a surprise return to Honduras nearly three months later and took refuge at the Brazilian embassy. The army surrounded the diplomatic outpost and threatened to seize the ousted leader if he left the embassy.
Conservative politician Porfirio Lobo was elected last month as the country's new president. Mr. Zelaya denounced the election as illegitimate, and many countries have yet to recognize the vote.
Last week, Honduran lawmakers voted against reinstating Mr. Zelaya to complete his term, which ends January 27.
On Wednesday, U.S. Secretary of State Hillary Clinton said Washington is encouraged by initial moves from President-elect Lobo to heal rifts caused by the coup.
Mr. Lobo has said he will work to restore the international ties that have been broken following the military-backed coup.
But Secretary Clinton says more work needs to be done on national reconciliation before the crisis can be considered over.
Clinton noted that the United States had condemned Mr. Zelaya's expulsion and taken significant steps, among them, aid cuts, to signal its determination that democratic order in Honduras be restored.
She also said the United States stands with the Honduran people and will continue to work closely with others in the region who seek to determine the democratic way forward for Honduras.
Some information for this report was provided by AFP, AP and Reuters.