He was reportedly detained on his way to the Mexican embassy in Lima, hours after he tried to dissolve parliament.
Images run by TV outlets showed the 53-year-old at police premises and co-operating with prosecutors.
He has reportedly been moved to a police-run prison, but Mexico says it is willing to offer him asylum.
The country's Foreign Minister, Marcelo Ebrard, said he was "very concerned" by Mr Castillo's detention, but said the former president had yet to make a formal request for asylum or aid from his government.
"Mexico regrets the latest events in Peru and wishes respect for democracy and human rights, for the good of that endearing sister nation," Mr Ebrard added in a post on Twitter.
Mr Castillo was removed from office by lawmakers on Wednesday after he gave an address on national television in which he declared a state of emergency and outlined plans to rule the country by decree.
He announced that he would dissolve the opposition-controlled Congress, a move which was met with shock both in Peru - several ministers resigned in protest - and abroad.
The head of the constitutional court accused him of launching a coup, while the US "strongly urged" Mr Castillo to reverse his decision.
Peru's police and armed forces released a joint statement in which they said they respected the constitutional order.
Mr Castillo's attempts to dissolve Congress came just hours before it was due to start fresh impeachment proceedings against him - the third since he came to office in July 2021.