Bushiri, who had previously said he wanted to clear his name, has now returned to his home country, Malawi, with his wife Mary.
Earlier this month they were released on bail after being charged with fraud and money laundering.
He said there had been attempts on his life and he accused the South African authorities of not offering protection.
Bushiri described his decision to skip bail as "a tactical withdrawal meant to preserve lives" while speaking to supporters on social media on Saturday.
Observers fear the issue could cause a diplomatic spat between Malawi and South Africa - as questions are being asked about how Bushiri and his wife managed to leave.
There had been allegations that Bushiri fled on Malawi's presidential jet with President Lazarus Chakwera - something that has been denied by both Mr Chakwera's office and the South African authorities.
There are also questions over whether the two countries will co-operate over bringing the couple back to South Africa.
The South African government announced on Sunday that they have started the process to bring the couple back from Malawi "to ensure that the two fugitives face justice".
The statement made a point to mention that Malawi and South Africa have already promised each other to send back fugitives, as part of the Southern African Development Community (SADC) protocol on extradition.