The life-sized figurine, stolen from Santiago de Compostela's Plaza del Obradoiro Friday morning, was found outside the office of the General Secretariat for Emigration with a sign denouncing the use of razor wire on the border between Morocco and Spain's North African enclave of Melilla, TheLocal.es reported Tuesday.
The razor wire has been controversial, with many arguing it inflicts injuries on desperate migrants.
The Balthazar figurine was returned to its home on the plaza.
The theft was carried out despite security cameras set up to prevent a repeat of last year's baby Jesus theft. Anti-eviction group the Fartas collective took credit for the stunt, saying Jesus was "sleeping" next to an ATM "like so many other anonymous citizens."