A small crowd gathered outside the palace to see the former monarch depart.
Two weeks ago a specially elected assembly overwhelmingly voted to abolish the 239-year-old monarchy and ordered Gyanendra out of his palace and into an old royal hunting lodge just outside the capital. Crown handed over
Gyanendra said he accepted the assembly's verdict and has already handed over the royal crown and a ceremonial sceptre to the government.
Some Nepalis have objected to Gyanendra's move to his new residence, known as the Nagarjun palace.
Earlier, more than 100 people gathered outside the venue of the constituent assembly meeting to demand Gyanendra not be allowed to live at his former hunting resort, which was taken over by the government last year.
"Give alms, not palace, to the beggar," some protest placards read.
In another demonstration, about 300 people demanded that Nepal, which has officially been a secular state since 2006, be made a Hindu nation once again.
The palace was the scene of a 2001 massacre when crown prince Dipendra shot King Birendra as well as eight other members of his family, before turning the gun on himself.
Gyanendra, who was not in Kathmandu that night, was vaulted to the throne.
The king became unpopular after he seized absolute power in 2005.
Abolishing the monarchy was a key condition in the 2006 peace deal with Maoist rebels, who fought a decade-long civil war in which more than 13,000 people were killed.