Sgt Shalit was taken from Gaza to Egypt, and then to an airbase in Israel where he was reunited with his family.
Meanwhile the first of 477 Palestinians to be released have arrived in Gaza and the West Bank, amid jubilant scenes.
Another 550 jailed Palestinian are to be freed next month under the deal between Israel and Hamas.
Sgt Shalit, 25, was seized in 2006 by Hamas militants who tunnelled into Israel.
Early on Tuesday he was taken to the Rafah crossing between Gaza and Egypt, and handed over to Egyptian mediators by Hamas, in the presence of Israeli representatives.
In his first interview, Sgt Shalit told Egyptian TV he missed his friends and family. Looking drawn and pale, he said he hoped the exchange would help bring peace between Israel and the Palestinians.
Sgt Shalit was then transferred to the Kerem Shalom crossing between Egypt and Israel.
He made a phone call to his parents and was later flown to Tel Nof airbase, where the family was reunited.
Initial medical examinations found Sgt Shalit to be in a stable condition.
At Tel Nof he was met by Israeli Prime Minister Benjamin Netanyahu, who said the release was an “exciting moment” but also “very difficult” as the price – the release of more than 1,000 Palestinian prisoners – had been “heavy, very high”.
Mr Netanyahu added: “I want to make it clear: we will continue fighting terrorism.”
Sgt Shalit is to have further medical checks. If he is declared fit, he will be flown with his family to northern Israel and escorted to his hometown of Mitzpe Hila.
Meanwhile, about 180 of the 295 Palestinians due to be sent to Gaza have arrived in the territory.
Celebrations to welcome them have begun, with an estimated 200,000 people gathered in Gaza City.
The former prisoners first crossed by bus into Egypt from Kerem Shalom, before being met at the Rafah crossing by relatives and friends, as well as Hamas Prime Minister Ismail Haniya.
Early on Tuesday, they had left a prison in the south of Israel, while a smaller group left another in the centre of the country – both under heavy security.
A number of senior Palestinian prisoners have been left out of the deal – which was brokered by Egypt.
The BBC’s Yolande Knell at the Rafah crossing from Egypt says relatives of those to be freed have been waiting there overnight.
One man said he was “very happy” his cousin would be let out after more than 30 years but was “very angry” that he was being moved to Gaza, which is under an Israeli blockade.
He said: “They will come from one prison to another prison.”
About 40 of the Palestinians released on Tuesday will be flown to host countries including Turkey, Syria or Qatar.
Other prisoners have been taken to the West Bank, where they were met by Palestinian Authority (PA) President Mahmoud Abbas.
Addressing a cheering crowd in Ramallah, Mr Abbas praised the former detainees as “freedom fighters” and said more Palestinian prisoners would eventually be freed.
Sgt Shalit was a 19-year-old tank crewman when he was captured in June 2006. His family lived in a protest tent in Jerusalem for 16 months while they campaigned for his release.
BBC Middle East editor Jeremy Bowen says Israelis who send their children to the country’s conscript army identify strongly with the Shalit family’s pain.
However, our correspondent adds, Israel has paid a high price for Sgt Shalit’s freedom.
Many of the Palestinians being released were serving life for killing Israelis with bombs and bullets.
Mr Netanyahu wrote a letter, released by his office, to bereaved Israeli families telling them: “I understand the difficulty in accepting that the vile people who committed the heinous crimes against your loved ones will not pay the full price they deserve.”