The WBC world heavyweight champion was spotted jogging along the Staffordshire and Worcestershire canal in Castlecroft.
And he stopped for photographs with fans ahead of him taking centre stage at KK's Steel Mill in the city, featuring a meet and greet with fans and a sit down interview.
Councillor Ellis Turrell, who represents Tettenhall Wightwick, said: "It's fantastic to welcome the Gypsy King himself, Tyson Fury, to our corner of Wolverhampton. It's been great to see him enjoying what Tettenhall Wightwick has to offer.
"There were some surprised local residents this morning when they spotted him jogging along the canal through Castlecroft and Wightwick. Tyson is a great friend to Wolverhampton and I hope he enjoys his time in the city. We would be delighted to welcome him back to Tettenhall any time!"
The Gypsy King's return to the city has been organised by Andy Sahota, a boxing-mad promoter who runs Showfighter productions.
The event kicks off at 6pm. As well as giving fans the chance to meet Fury, it will feature celebrity DJs, live bands, and an auction of exclusive signed memorabilia.
For tickets visit showfighter.co.uk/tickets