Relatives of Al-Shaikh, who worked for AFP in Bahrain for several years until his press permit was denied renewal last August, had been detained at Manama airport late Tuesday on his return from a trip overseas.
His family said he does not face charges.
Bahraini authorities did not respond to AFP's requests for an explanation for his arrest.
Al-Shaikh won the 2014 Bayeux-Calvados prize for his coverage of events in the tiny Gulf kingdom, rocked from 2011 onwards by an Arab Spring-inspired uprising and ensuing crackdown.
Last year saw a further tightening of restrictions on journalists. Authorities refused to issue visas or renew accreditations for reporters working for foreign outlets.
Nazeeha Saeed, a journalist working for France 24 and Arabic radio station Monte Carlo Doualiya, is currently on trial for working "without the necessary authorisation".
Disclaimer: No Business Standard Journalist was involved in creation of this content