Zhadan, an acclaimed novelist and poet whose books have been widely translated, wrote on Facebook that Belarusian police told him Russia had barred him in 2015.
Belarus has a border agreement with neighbouring Russia, but Ukrainian citizens can visit either country without a visa.
The writer took part in pro-European protests that led to the ouster of Ukraine's Moscow-backed president in 2014 and was beaten up by pro-Russian activists.
Zhadan said Belarusian police -- working with the feared KGB special forces -- entered his hotel room as he slept at around 2 am on Saturday and took him into custody.
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"Since Belarus and Kazakhstan are in the same visa zone -- unluckily for me -- the ban automatically applies to Belarus and Kazakhstan," he added.
Belarusian media published a photograph of Zhadan holding his passport with a stamp saying he is banned from entering Belarus and must leave by Sunday. It gives no expiry date for the ban.
Russian foreign ministry spokeswoman Maria Zakharova responded to a request for comment from AFP by saying this should be directed "to the relevant authorities".
"This is a real disgrace," she said.
Zhadan, 42, lives in Kharkiv in the Kiev-controlled part of eastern Ukraine. He grew up in the Lugansk region now partly controlled by pro-Russian separatists.
He supports the Ukrainian forces fighting the rebels, has visited the conflict zone and has raised funds to help those living in the war-torn area.
His novels have won numerous European prizes and the New Yorker in 2014 called him "Ukraine's most famous counterculture writer".
He had flown into Minsk to attend a poetry festival, and wrote on Facebook that he visited Belarus last year without any problems.
Russia's FSB security service this month ordered tougher restrictions along its frontier with Belarus, angering Lukashenko.
This came after Minsk said it was scrapping visas for short-term visits by citizens of 80 states from February 9.