A press scrum greeted Roman Polanski at the Montreux Jazz Festival
Polanski went to see his wife perform at the Montreux Jazz Festival but did not speak to the media.
In an interview to be aired later, however, he thanked Swiss supporters.
The US has said it will keep pressing for his extradition, in order to sentence him for having sex with an underage girl in 1977.
An Interpol warrant for his arrest remains in effect for 188 countries, the Associated Press news agency reports.
"For the moment, I'm happy to be free and to be able to do the things I was kept from doing," Polanski told Swiss television.
His wife, the actress and singer Emmanuelle Seigner, did not mention her husband during her hour-long performance, and Polanski did not appear on stage.
The Swiss justice ministry ordered the director's release after concluding that the US had not made a convincing argument for his extradition.
The US had failed to disprove Polanski's argument that he fled America before sentencing in 1978 because he believed the judge would renege on a plea agreement, it added.
US state department spokesman Philip Crowley responded by saying: "The rape of a 13-year-old girl by an adult who should know better and does know better is a crime. We will continue to seek justice in this case and we will evaluate our options."