Sturridge said in an Instagram posting Wednesday that he and some friends retrieved his Pomeranian, Lucci, from a South Los Angeles home late Tuesday night.
He added: "Absolutely delighted. Can't believe it!"
KCBS-TV says Sturridge told police he didn't believe the people who returned the dog were involved in the original burglary and that no money changed hands.
Sturridge said his house was broken into on Monday night. He posted surveillance video showing a shattered glass door and three men in hoodies walking through the home.
No arrests have been made.
Sturridge most recently played for Liverpool of the Premier League before being released.