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Zuko knew he shouldn't have crossed into Fire Nation waters but he assumed if he accomplished his mission, it would be worth it. All he had to do was capture the Avatar. He had him in chains and it was going right for Zuko for a change. Until Zhao showed up and took his prize, capturing him as well. When Roku emerged and caused the volcano to erupt, Zuko managed to escape and head towards his ship. It seemed like he might be able to escape without any problems.
That worked until Zuko was almost out of the Temple and Zhao cornered him with a few soldiers. Zuko started to defend himself but when an eruption shook the ground and made him lose his balance, Zhao managed to grab Zuko in a tight grip. Zuko struggled but was unable to escape the hold. Zuko was bound and handed to guards and led to Zhao's ship. The closer they were to the ship, the more Zuko struggled to break free. It only made Zhao angrier at Zuko - angry enough to have Zuko knocked out.
When Zuko woke up hours later, he was in a prison cell on Zhao's ship. His arms and legs were confined, restricting his movement. Even if he was able to move, it would still be the fact that he was captured on Zhao's ship, with nothing and no one around except Zhao. It still didn't deter him from trying to escape.
He arrived back home days later. It was what he wanted more than anything else, only under different circumstances. He didn't want to come back as a prisoner in chains. He wanted to walk back proud with his father welcoming him home. In the back of his mind, he kept insisting that if he could just talk to his father and explain what happened, it would be okay. The more he repeated it, the more he believed it.
The problem was when he was presented in front of his father, he was ordered not to speak. Like an idiot, he still tried to explain his reasoning. He hadn't been able to say much of anything besides "Fire Lord" before he was gagged. Zhao instead went on about how Zuko went past the barricade and entered the Temple. Zuko was caught in the Fire Nation. Zuko failed to capture the Avatar. Zuko disobeyed his banishment.
As Zhao went on, the hope Zuko had was slowly fading away. When Ozai headed to him, anger blazing, Zuko lost all hope. It didn't seem like there was any way out of this. Not when Ozai had Zuko's hair shaved. Not when Ozai set the cut hair on fire and was burned away before touching the ground. Not when Ozai had Zuko dragged to a prison cell and had him change into a prison unform. Not when Ozai informed Zuko it was a mercy he was in a cell instead of dead.
Once he was alone, he wished he listed to Uncle and didn't cross into the Fire Nation. He could be safe. He could be free. Instead he was in prison - a cage designed to keep him away from everyone and everything.