Atletico re-signed Costa from Chelsea last week after the Spain international's Stamford Bridge career came to an acrimonious end.
Following a reported fall-out with Antonio Conte in January over the Blues' refusal to sanction a move to the Chinese Super League, the Italian subsequently informed Costa he was surplus to requirements, despite scoring 20 goals in their Premier League title winning campaign.
Costa subsequently spent the early weeks of this campaign in exile in Brazil, but he was at the Wanda Metropolitano on Wednesday to see Chelsea snatch a 2-1 win from Atletico thanks to Michy Batshuayi's last-gasp goal.
With little time to lick their wounds, Atletico revealed on Thursday that Costa had begun training with the coaching staff.
As he signed outside of the transfer window, Costa cannot be registered until January. He is in line to make his second Atletico debut against Getafe at the Metropolitano on January 6.