The letters, penned in the 1990s, reveal the Hollywood actor’s fond memories of his early roots and include reminisces about growing up in the city's Fountainbridge area after his friend sent him a video of Edinburgh trams.
In another letter he recalls a recent visit back home and writes: "Its quite extraordinary to see all the changes that have taken place in Edinburgh and really how much nicer and cleaner everything was; a lot healthier too."
Connery, whose full name was Thomas Sean Connery, signs the letters "As Aye, Tam," and "All the best, Tam."
The collection of six letters are to be sold at Edinburgh auction house Lyon and Turnbull's Rare Books, Manuscripts, Maps & Photographs sale on February 24 with an estimate of £250 to £350.
Two of the letters were handwritten by Connery, who died in October aged 90, while the others were dictated by him to his very own Miss Moneypenny – personal assistant Maha Kingman
One was written on Royal & Ancient Golf Club of St Andrews headed note-paper while another was on paper marked 'Casa Malibu' - the name of Connery's villa in Marbella on Spain’s Costa del Sol.
In one note, dated May 9, 1992, the actor mentions "catching up with my prep for a new movie, I start in Hollywood in June."
The correspondence is with one of Connery's oldest friends whom he had known for 80 years according to Cathy Marsden of Lyon & Turnbull.
"'They were childhood friends who grew up together in Edinburgh,” she said.
After watching the video of the trams in the city, Connery replied: 'What a lot of extraordinary memories they provoke.'
The recipient of the letters, who has not been named, would have known how Connery fought back to health after being discharged from the Royal Navy with a duodenal ulcer. Before stardom, he eked out a living as a coffin polisher, milkman, lifeguard and labourer.
Connery, who won the Best Supporting Actor Oscar in 1988 for his role in The Untouchables, died peacefully in his sleep at home at Lyford Cay on New Providence Island in the Bahamas following a battle with dementia.
Last month his widow Micheline Roquebrune said she planned to scatter his ashes on a Scottish golf course where "he was happiest".
Connery’s death sparked calls to erect a statue in his honour in Edinburgh and a petition was launched urging Edinburgh Airport be renamed Sir Sean Connery International.
News of his death prompted a particularly poignant tribute from motor racing legend and long time friend Sir Jackie Stewart, who is a vocal campaigner for dementia research.
Sir Jackie, 81, said: “He was an amazing man and a great, great friend. You couldn’t have done more to find someone that good. It’s a great loss.
'Sadly, he took around more than two years of large discomfort, it’s a terrible illness. I know because my wife Helen, sadly, also has dementia. It's a great loss to Scotland, Britain and the world.”
He added: 'He was James Bond. The new man (Daniel Craig) is terrific but Sean had something that was different to everybody else.”