The singer won her appeal to adopt Mercy from the African country earlier this month due to her "commitment to helping disadvantaged children".
According to The Sun, she was originally planning to have the four-year-old flown to her family home in Los Angeles, but decided to pick her up personally.
Her two-year-old son David, who she adopted with ex-husband Guy Ritchie last year, reportedly told the tabloid: "I want to play with my sister now."
Mercy was transported from Madonna's Lilongwe residence last night under a veil - however, her current whereabouts are unclear.
It was recently reported that before collecting her, Madonna phoned her newly-adopted daughter every evening.