Prime Minister Stephen Harper was unapologetic about his government's efforts to keep Omar Khadr in prison one day after the 28-year-old's release, saying his thoughts would remain focused on the family of a U.S. soldier who was killed.

Mr. Khadr, now 28, was released on bail this week after 13 years behind bars for throwing a grenade that killed Sergeant Christopher Speer, a U.S. special forces soldier who was serving in Afghanistan. He was 15 years old when he was captured by U.S. forces and sent to Guantanamo Bay.

After nearly a decade in the notorious U.S. prison for terrorists, Mr. Khadr was transferred to a Canadian prison in 2012. While in U.S. custody, he pleaded guilty to war crimes in October, 2010, including the murder of Sgt. Speer, in exchange for an eight-year prison sentence and an opportunity to apply for a transfer to a Canadian prison.

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"Mr. Khadr, as we all know, plead guilty to very grave crimes, including murder," Mr. Harper said in an unrelated news conference on Friday. "At this time our thoughts and prayers are with the family of Sgt. Christopher Speer."

The Conservative government fought hard to keep Mr. Khadr behind bars, first refusing to advocate for his repatriation and later appealing a lower court decision to grant him bail. Earlier this month, the government argued that Mr. Khadr's release would damage Canada's relationship with the United States because he was sent back to complete his prison term.

An Alberta judge dismissed the claim, saying Mr. Khadr's case was unique and would not lead to a flood of early release requests. And the U.S. State Department noted on Friday that the deal was clear that Mr. Khadr is under Canadian law when he is in Canada, undermining the argument about endangering the relationship with Washington.

A smiling and mild-mannered Mr. Khadr told reporters on Thursday he intends to prove to Canadians that he is a good person and thanked the public for giving him a chance. He will stay with his long-time lawyer, Dennis Edney, at his Edmonton home.

Asked if he had any comments for the Prime Minister, Mr. Khadr said he would have to disappoint him. "I'm better than the person he thinks I am," he said.

Mr. Khadr's release was another legal defeat for the Conservative government. In recent years, the courts have struck down laws on drugs and gun crimes and rejected Mr. Harper's choice of judge for the Supreme Court.

That judge, Justice Marc Nadon, was appointed largely on the strength of his ruling that Canada had mostly acted properly toward Mr. Khadr while he was in Guantanamo Bay. (The Supreme Court said Justice Nadon was ineligible, and he never heard a case.)

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"Our government's priority in these matters is always to make sure – first and foremost – to keep in mind the protection and security of the Canadian population," Mr. Harper said on Friday when asked about Mr. Khadr's release. "Beyond that, there are some issues that are still before the courts and I'm not going to comment on anything beyond that."

The government has filed an appeal of the bail order from Justice June Ross of the Court of Queen's Bench. (This week, an appeal court judge rejected Ottawa's request to stay that order until the appeal is heard.)

A hearing at the Supreme Court of Canada is scheduled for next week on whether Mr. Khadr was sentenced as a juvenile or an adult. The Alberta Court of Appeal ruled he was sentenced as a juvenile, and the Canadian government is appealing the ruling. Whatever the Supreme Court rules, Mr. Khadr would not return to jail.

And Mr. Khadr has filed an appeal with the U.S. military commission that convicted him. There is no sign it will be heard before his eight-year sentence ends – one reason the Canadian courts were willing to grant him bail.

Nathan Whitling, a lawyer for Mr. Khadr, said three experts on U.S. military commissions testified at Mr. Khadr's bail hearing that his convictions are likely to be dismissed, a point the Canadian government did not contest in court.

In the meantime, Mr. Whitling said Mr. Khadr should not be referred to as a "convicted terrorist," a term Public Safety Minister Steven Blaney used in a statement last month.

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"Everyone is well aware of the fact that his guilty plea occurred in Guantanamo under certain conditions where practically anyone would plea guilty. And so I think the reliability of those convictions is pretty questionable," Mr. Whitling said.