It is reported in the Swindon Advertiser that the charismatic Italian snuck into the County Ground in the early hours of Thursday morning.
Di Canio is said to have been caught on CCTV returning to his office and removing photos of his successes at the club from the walls.
Swindon are believed to have now changed the locks at the stadium.
Di Canio resigned from his job on Monday, three days before a new consortium completed their takeover of the League One club.
The Italian's decision was criticised by outgoing chairman Sir William Patey but Di Canio has promised to reveal his reasons for his walk-out in due time.
The former West Ham and Charlton hero said: "The players and fans will find out what has really happened over the last 18 months."
He added: "The club have put out a wholly misleading version of events."
- Sports & Recreation