Lai arrived in the kingdom on Saturday to a red-carpet reception in the capital, Mbabane, where he met officials.
During his weekend stay, he was briefed on a Taiwanese-funded oil storage facility.
He also toured a convention centre where Taiwan plans to develop an industrial park.
"He left this morning using the king's aircraft," a source at Eswatini's main airport told AFP on condition of anonymity.
"The arrangements were kept low profile throughout his departure," they said.
The 66-year-old leader had initially been due to visit Eswatini from April 22 to 26 for the 40th anniversary of King Mswati III's accession to the throne and his 58th birthday.
But the trip was postponed after the Seychelles, Mauritius and Madagascar revoked overflight permits following "intense pressure" from China, Taipei officials said.
Eswatini, a small enclave formerly known as Swaziland, is one of only 12 countries that recognise Taiwan.
China has persuaded other nations to break diplomatic ties with the self-ruled island, which it claims as part of its territory.
China's foreign ministry accused Lai on Saturday of making a "stowaway-style escape farce" that made him "an international laughing stock".
Lai's last official overseas trip was in November 2024, when he visited Taiwan's Pacific allies and transited through the US territory of Guam.