She arrived in the country on June 22 and was deported the same day.
It was not clear why Yeoh was kicked out, but Myanmar's military-backed government has routinely rejected visa requests of perceived critics.
Yeoh plays pro-democracy leader Aung San Suu Kyi in an upcoming movie. Kyi spent most of the last two decades detained by Myanmar's military and was barred from being a candidate in the last election.
The movie about Suu Kyi's life, "The Lady," is due out later this year, and Yeoh has said she hopes her portrayal of Suu Kyi will raise awareness about the Nobel Peace Prize winner's story.
Yeoh visited Myanmar in December and spent time with Suu Kyi for the movie, which was filmed in neighboring Thailand.
Yeoh, a former Miss Malaysia, shot to international fame when she costarred with Pierce Brosnan in the 1997 James Bond film "Tomorrow Never Dies" as a tough but beautiful Chinese spy. She has also starred in "Crouching Tiger, Hidden Dragon" and "Memoirs of a Geisha."
The Associated Press contributed to this report.