Speaking at a rally in Greensboro, North Carolina, the Democratic nominee said her time off was a gift, allowing her to reflect on the campaign.
She walked on stage to the sound of James Brown's I Feel Good to deliver a speech on the economy.
Polls indicate a tightening White House race, with 54 days to election day.
Mrs Clinton's return comes a day after her doctor said she was "healthy and fit".
A history of US presidential bad health
She told a boisterous crowd at Thursday's rally: "With just two months to go until election day, sitting at home was pretty much the last place I want to be."
"People accuse me of all kinds of things," she added, "you probably have seen that, but nobody ever accuses me of quitting and I will never give up, I'll never walk away, no matter how tough the going gets."
The 68-year-old said she felt "lucky" that she could afford to take a few days off, compared with the millions of Americans who could not.
At a brief press conference afterwards, Mrs Clinton was asked whether she had shared details of her pneumonia diagnosis with her running mate, Tim Kaine.
She appeared to parse her words carefully as she replied that "many senior staff knew and information was provided to a number of people".
"This was an ailment that many people just power through," she continued, "and that's what I thought I would do as well."
She then jetted off to a give a speech at an event in Washington DC.
The race has focused on both candidates' state of health and medical records in recent days.
On Thursday, Donald Trump released a letter from his doctor saying he is in "excellent physical health", albeit overweight.
The Republican nominee earlier this year released a brief memo from the same physician asserting he would be "the healthiest individual ever elected to the presidency".
The 70-year-old businessman also discussed his health with Dr Mehmet Oz during a taped episode of the medical chat show, which aired on Thursday.
In other developments:
- Ivanka Trump cut short an interview with Cosmopolitan after objecting to the questions
- Donald Trump, Jr denied anti-Semitism after he accused the media of not holding Democrats to account, adding: "If Republicans were doing that, they'd be warming up the gas chamber right now"
- Donald Trump, Jr also said his father had declined to release his tax returns because they would only distract from his main message, according to the Pittsburgh Tribune-Review