While the Pelicans did not announce the location, sources told ESPN's Adrian Wojnarowski that Williamson is doing his rehab in Portland, Oregon.
In a statement issued by the Pelicans, Williamson made his first comments about the injury since the team announced in late September that the former No. 1 overall draft pick was hurt.
"As you can imagine, this has been a very difficult process for me," Williamson said. "I know there's work to be done in my recovery before I can safely return to the court, but I will continue to put in the time necessary so I can get back on the floor with my team and represent Pelicans fans and the city of New Orleans at the highest level.
"Basketball means everything to me, and I am thankful for the Pelicans organization and everyone who has surrounded me with love and support throughout this journey -- my family, friends, teammates, coaches, staff, fans, and everybody who has stood behind me and uplifted me when I needed it most."
The Pelicans and Williamson mutually agreed on his working away from the team, sources told ESPN, and the Pelicans even arranged transportation for Williamson out of New Orleans.
"Since we notified everyone on December 16 of his latest imaging, it was decided then by our medical team to dial his rehab back to only partial weight bearing activities. He continues along that path," Pelicans executive vice president of basketball operations David Griffin said in the statement.
"We also agreed that in order to put Zion in the best position to succeed, he will rehab away from the team at this time so he can focus on the task at hand."
Williamson has not played this season after suffering a fracture in his right foot that required surgery over the summer. After there was initial optimism that Williamson would be back for the start of the season, his return has been delayed several times.
The Pelicans announced on Dec. 16 that Williamson received an injection in his right foot to help with the bone-healing process. Williamson traveled to Los Angeles to meet with Dr. Richard Ferkel, who helped perform the initial surgery and also gave him the injection.
The Pelicans, who are 13-25 this season, expect to have another update on Williamson's status in the coming weeks.