The Wales international was discharged from hospital on December 21st after having an ICD (Implantable Cardioverter Defibrillator) device fitted.
He had collapsed in the 59th minute of a subsequently abandoned match at Bournemouth on December 16th.
"I've really enjoyed coming in and seeing all the lads. I haven't seen them since what happened, so it's really nice to see them all and be back in the building," said Lockyer.
"Being so active for all my life, not just football but everything else in general, to then be told you can't really do anything has been quite difficult."
Luton manager Rob Edwards said it had been "a really good morning.
"I managed to hold it together but it was emotional. It’s been a really difficult time for his family first and foremost, but for us, it was great to see him," he added.
"He’s such an impressive and focused person. There’s a rehabilitation process but he’s taking it slowly, he’s got a baby on the way and that’s his main focus."
Luton, 18th in the league, play at home against Brighton & Hove Albion on Tuesday.