Earlier in the day, a man threw ink on Roy when he was being produced in the court.
Roy was brought to Delhi on Monday night after an overnight halt in Agra.
The order to arrest Roy was issued on February 26 after he failed to appear in connection with a case in which his company was directed to return Rs. 20,000 crore to investors.
Roy surrendered last Friday and was arrested by the Uttar Pradesh Police.
He was lodged in a guest house of the state forest department at Kukrail in Lucknow after a local court directed the state police to keep him in its custody till March 4.