In a video on his Instagram account, President Vladimir Putin's top opponent said he was detained as he was leaving his Moscow home to go jogging and buy flowers for his wife's birthday.
"People are right when they say that sport is not always good for your health," Navalny joked.
"I have been detained and am now at a police station wearing shorts like a stupid man," the 43-year-old said.
His spokeswoman, Kira Yarmysh, said on Twitter that Navalny faced up to 30 days in prison for calls to stage an "unauthorised" rally this week.
There was no immediate comment from the authorities.
Navalny's arrest, the second in recent weeks, came after more than 22,000 people rallied in the Russian capital Saturday to demand free and fair local polls.
Many popular opposition politicians including Navalny allies have been banned from running for the Moscow parliament in September over allegedly faking some of the signatures of their supporters.
The would-be candidates say they were made to jump through countless hoops, and each had to collect roughly 5,000 signatures to be eligible.
They have fought tooth and nail to get on the ballot paper as they seek to capitalise on growing signs of public discontent with the authorities.
The opposition said Saturday's protest was the largest since 2012 when tens of thousands rallied against election fraud during parliamentary polls.
After the protest, the opposition politicians including Ilya Yashin and Lyubov Sobol issued a joint statement, accusing Moscow mayor Sergei Sobyanin of sparking a "political crisis" in the city of some 15 million people.
Navalny has threatened an even bigger rally on July 27, near the mayor's office, unless Moscow's authorities register the anti-Kremlin politicians within seven days.
- 'Unfair situation' -
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Last week, electoral authorities refused to register the opposition candidates, accusing them of faking some of the signatures and refusing to review evidence that they were authentic.
The Kremlin dismissed the opposition's complaints but many Russians are furious at what they perceive as electoral interference.
On Tuesday, the disqualified politicians met with the country's election chief, Ella Pamfilova, who admitted that the situation was "unfair."
The talks however led nowhere, the opposition said, accusing Pamfilova of seeking to play for time.
Navalny has organised some of the biggest protests against Putin in recent years.
His anti-corruption rhetoric is growing increasingly popular amid Putin's falling approval ratings and anger over declining living standards and unchecked corruption.
This month Navalny served a 10-day jail sentence for allegedly violating a protest law.
Last year, he served two stints of 30 and 20 days in jail.
Some 7.2 million Muscovites are eligible to elect 45 lawmakers to the local parliament, currently dominated by the United Russia ruling party.