In August, Yanez was shot repeatedly and his partner, Officer Ella French, was killed during what police said was a traffic stop gone wrong.
"It's great, thank you to all my family and friends," Yanez said as bagpipers and a mariachi band played. "Thank you for the support."
Yanez thanked his fellow officers who rushed him to the hospital after the shooting, as well as all the medical staff who have helped him in his recovery.
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Two months later - after losing an eye and battling partial paralysis - he is able to hold and hug loved ones with his right arm.
"It's really overwhelming in a good way," said his wife, Brenda Yanez. "Everything has changed. It will never be the same, but we are a strong family and plan to support each other as we have been."
He was greeted by his entire family including his father, Carlos Yanez Sr., who thanked everyone for the support.
"This is a magic moment," said his father, Carlos Yanez Sr. "He has come a long way, but he's got a long way to go still. But with all the people's prayers and everything he will make it."
"It's emotional," said Nicole Yanez, his sister. "It's a miracle, honestly. We are just so overwhelmed with gratitude that he made it."
RAW VIDEO: Officer Carlos Yanez Jr. shares message from hospital
Officer Yanez left the Shirley Ryan Ability Lab Thursday. Yanez will continue recovering at an undisclosed location. He can't go home until they have a more wheelchair accessible option.
Officer French, 29, was just three years into her police career when she was killed.