An 11-day saga over Djokovic's entry visa ended with the Serb being deported for failing to meet Australia's strict COVID-19 vaccination requirements.
The top-ranked tennis star met with Serbian President Aleksandar Vucic on Thursday and described the events in Australia as "unexpected, to say the least".
"I wanted to meet with you today because, primarily as a citizen of Serbia, I felt a great need to thank you for great support that you, as the president of Serbia, gave me, as well as all state institutions during the unfortunate events in Australia," Djokovic said.
"Although I was alone in detention, and faced with many problems and challenges, I wasn't feeling lonely. I had huge support primarily from my family, all of the close people in my life, entire Serbian nation, many people with good intentions from the region and the world."
He did not speak about details of the events in Australia, promising to give his "version" later.
The meeting happened a day after Serbia's state prosecutors rejected suggestions voiced by some foreign media that Djokovic used a fake positive test for COVID-19 to try to enter Australia.
To enter Australia, Djokovic submitted a positive test issued in Serbia on December 16 for a visa exemption on the grounds that he had recently recovered from the virus.
He is not vaccinated and the Australian government later decided to cancel his visa and deport Djokovic, saying his presence in Australia could stir anti-vaccination sentiments.
Djokovic's rival, Rafael Nadal, won the Australian Open for a record 21st men's grand slam singles title.
Djokovic and Roger Federer have 20 major titles.
Vucic praised Djokovic and said he was certain he will beat Nadal and Federer at the coming French Open and Wimbledon - the grand slams where Djokovic could also face restrictions if he does not get vaccinated.