The double Olympic champion had tweeted that she was "shaking" and "in absolute pieces" after believing the irreplaceable items had been stolen.
But she later shared her relief that they had been found and thanked fans for their concern.
Police are at the house investigating the burglary during which her fiance Harry Needs' keys and car were stolen, she said.
The 24-year-old first wrote on Twitter: "In absolute pieces. Some bastards have broken into my house and stolen my Olympic medals!!! Something I will never be able to replace!
However, she later added: "Medals have been found. I'm so relieved. They've been in house and stolen Harry's car and got keys. I'm just glad no one has got hurt.
"Thank you all for the concern. The main thing I know is were safe. Life is more precious. Xxxxx"
A few hours before revealing the burglary, Miss Adlington, who is originally from Mansfield in Nottinghamshire, tweeted about an "amazing meal" in London.
At the beginning of the year she announced her retirement from the sport to pursue a career in broadcasting.