Officials at the Westin Lake resort in Henderson said the creature, named Ol' Dillo and a cult favourite with his fans, vanished while audience members were greeting the singer after a concert at the venue on Monday night.
Westin marketing director Matt Boland said Nelson's crew called in the middle of the night from the road after the gig, asking the resort to scour surveillance footage because the mascot had gone missing.
Mr Boland said he was outside the hotel on Tuesday morning when an apologetic man drove up and handed him a shoebox and instructions to return it to Nelson, who was continuing with his tour.
He added the armadillo was found inside the box and was then returned to the singer in California.
Nelson suffered a similar scare last September when the armadillo was stolen at a New York gig.