Inmates at Her Majesty's Prison Hollesley Bay in Suffolk, are believed to have found the animal while working outside the jail.
A hutch was then constructed in which the animal was kept for several days.
The rabbit was kept inside the prison but was discovered by officers, the Prison Service said.
"This prisoner has been disciplined and the animal immediately handed to a rescue centre," the BBC quoted a Prison Service spokesman as saying.
It is understood the incident occurred several weeks ago, the Ipswich Star reported.
Inmates at the open jail are not allowed to keep pets, authorities said.