Shahzad was arrested while reportedly trying to flee New York to Dubai by an Emirates flight on Monday evening, and had made several statements to the authorities implicating himself, the New York Times said.
The 30-year old has told investigators that he acted alone in the case but probe is still on.
US authorities have warned that an international connection in the case does not necessarily imply that a big terrorist organisation like Al Qaeda was involved.
The planned terror plot dramatically unfolded on Saturday when a foot patrol officer spotted a parked sports utility vehicle identified as a Nissan Pathfinder around 6:30pm last evening in Times Square.
The officer noticed a box inside the vehicle with smoke coming out of it.
The car, parked in a crowded area, was later found to be loaded with a bomb made of electrical components, three propane gas tanks, two additional gas canisters and a timing device.
Arrests made in Pakistan
A number of Pakistani nationals, including family members of Shahzad, have been picked up in Pakistan for questioning in connection with the case.
CNN quoted Pakistani intelligence sources as saying that investigators have arrested a number of suspects in connection with the Times Square case.
Sky News quoted a security official in Karachi as saying that a few family members of Shahzad had been picked up. Shahzad had visited Pakistan for about five months, returning to the US in February, it said.
Investigators in the case have recovered a hand-drawn map, a handgun and ammunition, and fertiliser -- linked to Shahzad, CNN said.They were also combing through Shahzad's receipts, and roommates were being interviewed.