The Norwegian, Frode Berg, was trialled earlier this year in Moscow for suspected espionage.
Last month, Russian Foreign Minister Sergei Lavrov he expected a decision to be taken soon on a pardon for Berg.
"Today, at midday, the exchange operation was completed successfully," Lithuanian intelligence chief Darius Jauniskis told reporters in Vilnius on Friday.
"Lithuanian citizens Yevgeny Mataitis and Arstidas Tamosaitis and Norwegian citizen Frode Berg successfully returned to Lithuania," he said, adding that Berg was then transferred to the Norwegian embassy in the Lithuanian capital.
Tensions between Nato and EU member Lithuania and Soviet-era master Russia have grown since after the outbreak of the Ukraine crisis in 2014, triggering a string of espionage allegations on both sides.
Lithuanian President Gitanas Nauseda first pardoned the two Russians jailed by Vilnius for spying, prompting Moscow to announce it would respond in kind.
Jauniskis said Lithuania handed over the two pardoned Russians, Nikolai Filipchenko and Sergei Moisejenko in the exchange at a Lithuanian border crossing with the Russian exclave of Kaliningrad.
Russia's SVR foreign intelligence agency director Sergei Naryshkin had told news agencies that Moscow would take "reciprocal measures" following Lithuania's pardon.
Both Russians were sentenced by Lithuanian courts in 2017.
Norwegian Prime Minister Erna Solberg hailed Berg's release and thanked Lithuania for its "cooperation and efforts" in securing his freedom.
Ilya Novikov, Berg's lawyer in Russia, tweeted on Friday that he was "on his way home, it's over" but it remained unclear when he would return to Norway.
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