Eslam Ibrahim Mohamed El-Dessouki, 21, was taken into custody in Minnesota on what was termed an administrative immigration violation as an out-of-status student, according to the FBI and the Department of Homeland Security.
Two other students, whose names were not yet released, turned themselves into authorities in New Jersey.
"The FBI remains extremely interested in interviewing," the other missing Egyptian students, said Paul McCabe, a spokesman for the FBI in Minneapolis.
The missing students pose no terrorism threat, the agency said.
Authorities began searching for the 11 Egyptian students after they arrived in the United States last month, but failed to show up for an exchange program at Montana State University.
The Egyptian men were among a group of 17 students who arrived in New York from Cairo on July 29 with valid visas, according to U.S. authorities and university officials.
The other six arrived as planned at the Montana school.
Montana State repeatedly tried to contact the missing students, including via e-mail, a school official said earlier this week. When that failed, the school notified Homeland Security officials and registered the Egyptians as "no-shows" in the system developed after the Sept. 11 attacks to track foreign students.
The students were participating in an exchange program with Mansoura University in Mansoura, Egypt.
Norm Peterson, vice provost for international education at Montana State, said he doubts the school will have any future contact with the missing students.
"I guess I'm not optimistic that we are ever going to hear from them," he said Wednesday. "It's more likely that they will hopefully depart from the country as soon as possible voluntarily — or the federal authorities will continue to track them down and deal with them appropriately."
The six students who did arrive for the month-long program of English instruction and U.S. history and culture "are doing fine under the circumstances," Peterson said.
"But it is really a challenging situation for them to suddenly have so much press attention" for simply being the ones who showed up, he said.
The U.S. government tightened the student visa process after the Sept. 11, 2001, terrorist attacks. One of the hijackers involved in the attacks had arrived in the United States on a student visa, and immigration officials approved student visas for two other hijackers after they entered the country. A fourth attended flight training school without a student visa.