President Nicolas Maduro said the opposition leader must answer “for all the crimes committed against the country’s peace and security”.
Camouflaged police smashed into the mayor’s office and carried him away.
The arrest comes on the anniversary of the start of months of protests against Nicolas Maduro’s rule that left dozens of people dead.
The Human Rights Watch group has called for Antonio Ledezma’s immediate release.
Hundreds of people gathered at the intelligence agency’s HQ in Caracas to protest at the arrest.
Nicolas Maduro said: “Mr. Ledezma, who today by order of the prosecution was captured, must be processed by Venezuelan justice to answer for all the crimes committed against the country’s peace, security, constitution.”
The Caracas mayor was on a list of people and foreign powers named by Nicolas Maduro last week as attempting to bring down his administration.
Antonio Ledezma, Caracas mayor since 2008, replied that it was government corruption that was bringing down Venezuela.
He was taken on February 19 from his office in the banking district.
Opposition legislator Ismael Garcia wrote on Twitter: “I just saw how they took Ledezma out of his office as if he were a dog. They broke down the doors without an arrest warrant.”
A member of Antonio Ledezma’s security detail said about 10 men with guns and a hatchet came for the mayor, bundling him out of the building.
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