"It pains me to leave, but I leave carrying our cause on my back, and my love for my country in my chest," Khawaja, who left for Denmark where she also holds nationality, said on Twitter.
Her sister Maryam, likewise on Twitter, said Zainab left on Monday with her children after having received undisclosed threats.
Bahraini authorities said they released Khawaja, who had been held in prison with her toddler son since March, on May 31 because of her "humanitarian situation".
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The Shiite mother had been convicted of insulting King Hamad by ripping up a picture of him, and she had chosen to keep her 17-month-old son with her in jail.
Judicial authorities ordered "the suspension of the sentence" for Khawaja.
She is the daughter of prominent rights activist Abdulhadi al-Khawaja, who is serving a life sentence for plotting to overthrow the Sunni regime.
The Gulf Centre for Human Rights has said Zainab al-Khawaja was jailed for three years and one month on charges including tearing up the monarch's picture and insulting a police officer.