Neymar was initially in the middle trying to regain possession of the ball but as soon as he made a block with his right foot, he grimaced in pain.
"Neymar came out of training today with a painful right ankle", said Vinicius Rodrigues, a spokesman for the Brazilian Football Confederation (CBF).
On Sunday, Brazil drew 1-1 with Switzerland, with Neymar playing the whole match for the first time having been sidelined for nearly three months with a foot injury, which required surgery.
According to the Spanish newspaper Marca, the striker left the session accompanied by the team's physiotherapist after suffering a pain in his ankle.
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He had been playing keep-away with a few other players when he started showing signs of discomfort in his ankle.
But after around 10 minutes he limped away with a member of staff to receive some treatment after looking clearly uncomfortable on the field.
The Paris Saint-Germain star recently recovered a broken foot but impressed in Brazil's warm-up matches and started their 1-1 draw with Switzerland on Sunday. "Since today was only a recovery session for the starters, and he complained about pain, he ended going to rehabilitation".
Philippe Coutinho says Brazil will find another "protagonist" if Neymar is not at his best when they take on Costa Rica on Friday. The team could only manage a point against Switzerland and have Serbia and Costa Rica to face next in their World Cup group stage matches.
Neymar had already practiced separately from his teammates on Monday.