Nealy worked for an electrical contractor in Robeson County and left his job-site around 6:30 p.m. in a light blue Ford Econoline van.
The sheriff's office picked him up in Lumberton just before 5 p.m. Authorities say Nealy will face an escape charge and possibly other charges.
Nealy was serving six to seven years for a string of financial crimes including forgery and larceny.
He was assigned to the minimum-security Robeson Correctional Center in Lumberton.