The couple have been staying at the luxurious Hotel Bosna in Ilidza, six miles (10km) west of Sarajevo, during the official visit.
They are currently on board a train to Sarajevo, expected to arrive at 09:50.
Last night the couple dined at a special banquet with 41 guests, including Bosnia's top military, religious and civil officials.
Hotel Bosna in Ilidza
Hotel Bosna, Ilidza