Wong's political party, Demosisto, tweeted he was "pushed into a car" by police.
Police also arrested Andy Chan, the leader of a banned pro-independence movement, at the airport Thursday night.
An appeals board also denied permission for a major march planned for Saturday, the fifth anniversary of a decision by China against allowing fully democratic elections for the leader of Hong Kong.
The organizers said they were calling off the march.
"The first priority of the Civil Human Rights Front is to make sure that all of the participants who participate in our marches will be physically and legally safe. That's our first priority," said Bonnie Leung, a leader of the group. "And because of the decision made by the appeal board, we feel very sorry but we have no choice but to cancel the march."
BREAKING: Our secretary-general @joshuawongcf was just arrested this morning at roughly 7:30, when he was walking to the South Horizons MTR station. He was forcefully pushed into a private minivan on the street in broad daylight. Our lawyers following the case now.Demosistō 香港眾志 (@demosisto) August 30, 2019
Police said that Wong and Agnes Chow are being investigated for their role in a 21 June unauthorised protest outside a police station. Both could face charges of participating in the demonstration and inciting others to join it. Wong is also being investigated on suspicion of organising the protest.
A leader of the Umbrella Movement
Wong is secretary-general of Demosisto and Chow is a member. He was one of the student leaders of the Umbrella Movement, the major pro-democracy demonstrations in 2014.
Demosisto first reported the arrests on its social media accounts, saying Wong was pushed into a private car as he was heading to a subway station around 7:30 a.m. and has been taken to police headquarters. It later said Chow had also been arrested, at her home.
Wong was released from prison in June after serving a two-month sentence related to that protest. He has spoken out regularly in support of the pro-democracy protests in Hong Kong this summer.
The protests were sparked by extradition legislation that would have allowed suspects to be sent to mainland China to face trial. They also reflect a more general concern that China is chipping away at the rights of Hong Kong residents.
The extradition bill was suspended but the protesters want it withdrawn and are also demanding democracy and an independent inquiry into police actions against protesters.
Police said that Chan was arrested under suspicion of rioting and attacking police.