Ledger, who was Williams' former boyfriend and 2-year-old Matilda's father, died Jan. 22 in New York. The cause of his death was expected to be announced this week.
People.com said Williams and Matilda were surrounded by security guards when they arrived Wednesday afternoon in Australia.
Ledger's father Kim, mother Sally and sister Kate all returned Tuesday to Australia from the United States. They had been in America to collect Heath's body and attend memorial services in Los Angeles.
People.com said that, after their arrival in Australia, Williams and Matilda headed to Heath's mother's house.
A private funeral for the "Brokeback Mountain" actor was expected to take place Saturday.
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