On Monday he called the move a reaction to an attack on his forces that killed about 30 fighters in the first audio statement since the aborted armed rebellion he staged on Saturday.
“We started our march because of an injustice. We went to demonstrate our protest and not to overthrow power in the country,” Prigozhin said in an 11-minute audio message.
He did not offer any details as to where he was or what his future plans are.
Prigozhin added his fighters had the support of “happy” civilians in towns they went through as they advanced on Moscow.
“In Russian towns, civilians met us with Russian flags and the symbols of Wagner,” he continued, noting, “They were all happy when we passed through.”
The convoy stopped 200km (125 miles) short of Moscow and had “blocked all military infrastructure” including air bases along its path, he added.
Russian media reported a criminal probe against Prigozhin continued, and some lawmakers called for his head.
Earlier Russian Defence Minister Sergey Shoigu made his first public appearance since the uprising that demanded his ouster, in a video aimed at projecting a sense of order after the country’s most serious political crisis in decades.
A feud between the Wagner Group leader and Russia’s military brass that has festered throughout the war erupted into a mutiny that saw the mercenaries leave Ukraine to seize a military headquarters in a southern Russian city and roll seemingly unopposed towards Moscow – before turning around after less than 24 hours.
The Kremlin said it made a deal for Prigozhin to move to Belarus and receive amnesty, along with his soldiers.
There was no confirmation of his whereabouts Monday, although a popular Russian news channel on Telegram reported he was seen at a hotel in the Belarusian capital, Minsk.
Belarusian President Alexander Lukashenko has proposed ways in which Russia’s Wagner mercenary group could continue to operate, Prigozhin added.
“Lukashenko held out his hand and offered to find solutions for the continuation of the work of the Wagner private military company in a legal jurisdiction,” he said in the audio message.
Prigozhin also claimed that “if Russia’s actions in Ukraine last February were carried out by forces trained as Wagner, the special operation could have ended in one day.”
He also added that his troops had not signed contracts with the defence ministry.
On Sunday, the Kremlin announced Wagner troops could sign contracts with the ministry after returning to camps.