"The embassy is surrounded by police and the military ... I foresee bigger acts of aggression and violence, that they could be capable of even invading the Brazilian embassy," Zelaya said in an interview with Venezuelan broadcaster Telesur.
Radio Globo in Honduras later reported that a team of "hooded men" had stormed the house next to the Brazilian embassy, but there was no independent confirmation.
Mariana Sanchez, Al Jazeera's correspondent reporting from Honduras, said: "It's difficult to say whether they would go into the Brazilian embassy and get former president Manuel Zelaya out of there.
"Of course, they would be breaking international treaties [if they did] - the situation is very tense."
Later, Roberto Micheletti, Honduras' de facto leader, said he had no intention of ordering his men to enter the embassy or to confront Brazil.
"We want them [Brazil] to understand that they should give him political asylum [in Brazil] or turn him over to Honduran authorities to be tried," he said.
"We will respect international and national law. If [Zelaya] wants to stay there for 5 or 10 years, we don't have any problem with him living there," Micheletti said
Soldiers toppled Zelaya at gunpoint and sent him into exile in his pyjamas in a coup on June 28, sparked by his attempts to call a constitutional referendum on presidential term limits.
Micheletti has repeatedly refused to allow Zelaya to return, insisting he would be arrested if he returned.
"It's like an insurrection, you know. The people say they won't listen to the government so today is going to be a very important day"
A statement from Brazil's foreign ministry said that the de facto government had cut water, electricity and phone lines to the Brazilian embassy where Zelaya had taken refuge.
Brazil currently has no ambassador in Honduras and the embassy is headed by Francisco Caruda Resende, Brazil's business attache, the statement said.
Micheletti said he would not reopen negotiations and insisted that Brazil hand over Zelaya to face charges for corruption and violating the constitution.
"I insist that the courts are waiting so he can present himself there and pay for the crimes he committed," Micheletti said.
Honduras's government ordered a 26-hour shutdown of the capital beginning on Monday afternoon, closed all the nation's international airports and set up roadblocks on highways leading into town to keep Zelaya supporters from protesting.
But Zelaya loyalists ignored the decree and surrounded the embassy, dancing and cheering and using their mobile phones to light up the streets after electricity was cut off to the area around the embassy.
Carlos Salgado, a 43-year-old jewellery-maker from Zelaya's home state of Olancho, said: "We're here to support him and protect him, and we're going to stay here as long as it's physically possible."
Oscar Hendrix, a youth activist in San Pedro Sula, told Al Jazeera he and others were planning to march to the capital in defiance of the curfew.
"It's like an insurrection, you know. The people say they won't listen to the government so today is going to be a very important day," he said.
"We will call for [people in] the capital to mobilise ... and they will see that there are more of us that want constitutional order back in our country. We're trying to do it in a peaceful way, that's our main goal."
Zelaya's surprise return to Tegucigalpa comes as world leaders gather at the United Nations in New York, putting renewed international pressure on the interim government to let him return to power.
Economic sanctions have already been imposed by the US government and the EU, while Zelaya has called for negotiations with the leaders who forced him from the country at gunpoint.
His return has overshadowed campaigning for the November presidential vote that the interim government hopes will restore an image of international legitimacy.
Speaking from New York, Luiz Inacio Lula da Silva, the Brazilian president, called for negotiation and said that his coutry was doing what "any democratic country would do" by granting Zelaya refuge in its embassy.