TEHRAN, Young Journalists Club (YJC) - "Welcome to freedom!" tweeted former Colombian President Andres Pastrana, who is close to Venezuela's opposition.
Ledezma, 62, was the best-known detained opponent of President Nicolas Maduro's government after Leopoldo Lopez, who is also under house arrest in Caracas.
The former Caracas metropolitan mayor spearheaded street protests against Maduro in 2014 that led to months of violence and 43 deaths.
Government officials mocked Ledezma as "The Vampire" and at the time of his arrest accused him of having ties with violent hardliners and supporting dissident military officers plotting to topple the president via air-strikes.
"I salute Antonio Ledezma, moral compass for Venezuela," said Organization of American States (OAS) head Luis Almagro, who has also been a vocal backer of Venezuela's opposition.
Ledezma's family, lawyer and political party did not immediately respond to phone calls seeking confirmation.
But Colombia's migration service confirmed he had entered overland, crossing a bridge between San Antonio town in Venezuela to Cucuta on the other side.
His wife Mitzy Capriles told Colombia BLU Radio from Madrid that he had left his Caracas home, but she did not know where he was. "I haven't spoken to him for several hours," she said.
An array of Venezuelan opposition leaders are now in exile, detention or barred from holding office.
They say Maduro has turned Venezuela into a dictatorship, while the government accuses them of joining forces with a U.S.-led global plot to topple him.