A law enforcement source confirmed to CNN the first lady was on the plane, and a motorcade was seen leaving the airport.
Earlier in the day, Trump emerged from the White House for an unannounced visit to the Holocaust Memorial Museum in Washington.
"My thoughts and prayers are with the people whose lives and families were broken by the horrors of the Holocaust," said Trump in a statement released following her visit. "Yet it is also through our shared humanity that we come together now in commemoration, strength, and love. My heart is with you, and we remember."
This Saturday marks the International Day of Holocaust Remembrance.
The reason for Trump's Florida trip was not immediately clear and the White House did not immediately respond to a request for comment.
The first lady has had by many accounts a difficult start to 2018, facing myriad news stories about a dalliance her husband allegedly had with porn star Stormy Daniels. The alleged affair supposedly took place in 2006, four months after Melania Trump would have given birth to the couple's only son, Barron.
President Donald Trump denies the affair took place, and Daniels denies she received $130,000 from Trump's attorney Michael Cohen to keep it covered up. Despite the rebuttals, recent headlines have inevitably made for a difficult period for the first lady.
The Wall Street Journal first reported
the Daniels story on January 12, just a couple of hours before the first lady flew to Mar-a-Lago with her husband, where she was not seen by the press pool the entire long weekend.
The first glimpse of the first lady came when she boarded Air Force One to return to Washington from Florida on Monday, January 15, walking up the stairs to the aircraft in blustery wind and rain, behind her husband, who carried an umbrella, but did not offer it to his wife.
East Wing communications director Stephanie Grisham confirmed to CNN on January 15 that the first lady would be joining her husband in Davos, for the most part to support him during his planned remarks, scheduled for early Friday morning. However, on the evening of January 22, Grisham backtracked, telling CNN Melania Trump's trip was now off, citing "scheduling and logistical issues."
January 22 was also the first couple's 13th wedding anniversary
, an occasion not marked in any public manner. Requests from CNN to the West Wing and East Wing press offices to inquire whether the couple celebrated in private were not returned.
Prior to Thursday's museum visit, Melania Trump had only been heard from on her social media channels this month. Her last posting was a message on January 20 to mark the one-year anniversary of the inauguration, with a photograph from the day that cryptically did not include her husband, but rather a uniformed military escort.
Melania Trump posted photographs on Thursday of her museum visit to her Twitter and Instagram accounts, including one where she stood alone in Remembrance Hall to light a candle at the museum's Prayer Wall.
CNN's Noah Gray and Peter Morris contributed to this report.