Dr Besigye was also detained last week over a mass "walk to work" against fuel hikes.
He was shot in the hand amid violent clashes between police and supporters of his Forum for Democratic Change.
Dr Besigye lost to President Yoweri Museveni in February's election but says the poll was rigged.
He has been defeated by Mr Museveni in three presidential elections, gaining 26% to the president's 68% in February.
On Monday, party and police officials said Dr Besigye had been detained as he set out on his walk to work protest.
'Take a walk'
He was taken to the Kasangati police station on the outskirts of the capital, Kampala, they said.
The BBC's Joshua Mmali reports from Kampala that the police station was surrounded by military officers and a small crowd of people.
Dr Besigye has pledged to hold protests every Monday and Thursday, our correspondent says.
But at a press conference on Saturday, President Museveni warned against further demonstrations.
"We made it clear to Besigye that you are not going to demonstrate or to walk," he said, according to AFP news agency.
"If you want to walk, go somewhere and take a walk."
Before February's election, Dr Besigye had called for Egypt-style uprisings in the event of fraud.
The police responded by banning public demonstrations.
BBC
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