"We will not stop", she said, referring to herself and other climate activists who have been instrumental in organizing protests around the world to draw attention to the climate emergency.
She says she travelled by catamaran instead of plane to "send a message it is possible" to live a sustainable lifestyle.
"People are underestimating the power of angry children".
"Heading into Lisbon!" she posted on Twitter along with photographs aboard the vessel.
Carolina Schmidt, environment minister of Chile, which is chairing the negotiations, said she hoped Thunberg's presence would galvanise more ambitious commitments by governments at talks aimed at bolstering the 2015 Paris Agreement to avert catastrophic temperature increases.
"We are SO enormously blessed to have you as our climate change warrior angel - dedicating all your time right now and your life to fight so very hard!"
Some 20 activists cut off traffic in central Madrid and staged a brief theatrical performance to protest climate change.
Members of the worldwide group Extinction Rebellion held up a banner in Russian that read: "Climate Crisis".
Thunberg missed last Friday's climate strike as heavy winds delayed her arrival in Lisbon but she is due to join thousands of activists marching in Madrid on Friday afternoon on the fringes of the COP25.
Meanwhile, a report by the United Nations weather agency released on the sidelines of the climate talks found that the current decade is likely to set a new 10-year temperature record.
Her arrival came as the United Nations said this decade will be the warmest on record, with 2019 among the top three hottest years in history.
In a stark reminder that burning fossil fuels has fundamentally changed the composition of the Earth's atmosphere, the report said the concentration of carbon dioxide hit a record 407.8 parts per million in 2018 and rose again in 2019, hovering at the highest levels seen in millions of years.
The World Meteorological Organization's annual report, which brings together data from numerous national weather agencies and research organizations, also highlighted the impacts of climate change including declining sea ice and rising sea levels, which reached their highest level this year since high-precision measurements began in 1993.