Rosie sought help from officers after being scared by a firework on 3 November.
CCTV footage from Loughborough Police Station captured the moment the border collie arrived and took a seat in the waiting room.
Leicestershire Police staff fetched some water and gave her a fuss before calling the number on her ID tag.
She said her husband was "really upset" but as he was bringing their other dog home, she received a call to say Rosie had been found.
"I was so pleased and so happy she was safe and so proud of her that she was clever enough to find her way to the police station," she said.
Leicestershire Police said: "Thankfully she was wearing a collar, so a lead was available to contact Rosie's owner, who was delighted she had been found safe and well."
CCTV shows the moment Rosie wanders into the police station