We analyze fractional Brownian motion and scaled Brownian motion on the two-dimensional sphere S^{2}. We find that the intrinsic long-time correlations that characterize fractional Brownian motion collude with the specific dynamics (navigation strategies) carried out on the surface giving rise to rich transport properties. We focus our study on two classes of navigation strategies: one induced by a specific set of coordinates chosen for S^{2} (we have chosen the spherical ones in the present analysis), for which we find that contrary to what occurs in the absence of such long-time correlations, nonequilibrium stationary distributions are attained. These results resemble those reported in confined flat spaces in one and two dimensions [Guggenberger et al. New J. Phys. 21, 022002 (2019)1367-263010.1088/1367-2630/ab075f; Vojta et al. Phys. Rev. E 102, 032108 (2020)2470-004510.1103/PhysRevE.102.032108]; however, in the case analyzed here, there are no boundaries that affect the motion on the sphere. In contrast, when the navigation strategy chosen corresponds to a frame of reference moving with the particle (a Frenet-Serret reference system), then the equilibrium distribution on the sphere is recovered in the long-time limit. For both navigation strategies, the relaxation times toward the stationary distribution depend on the particular value of the Hurst parameter. We also show that on S^{2}, scaled Brownian motion, distinguished by a time-dependent diffusion coefficient with a power-scaling, is independent of the navigation strategy finding a good agreement between the analytical calculations obtained from the solution of a time-dependent diffusion equation on S^{2}, and the numerical results obtained from our numerical method to generate ensemble of trajectories.