The forum opened with several hundred people marching from Nairobi's sprawling Kibera slum to the city's centre.
"We are fighting against poverty, ignorance, corruption and exploitation," Kenneth Kaunda, Zambia's founding president, told marchers.
"We must fight together, Christians, Muslims, Jews, Hindus, whatever. We are all creatures of God," he added.
About a third of Nairobi's total population, at least 700,000 people, are crammed into a single square mile in Kibera where they have little access to running water and other basic services.
The slum's residents are mostly squatters who have no legal claim on the land even though many families have lived there for generations.
Many of Kibara's inhabitants said they were glad to take part in the march.
"I was working at a car wash and I was told to come here today, I was told I would learn something," Philip Kimani, an 18-year-old homeless man, said.
Many people on the march waved placards, several with portraits of George Bush, the US president, with the words "World's Number One Terrorist".
Patricia Murray of the Irish-based Loreto organisation, which campaigns against environmental damage, said the forum was the best chance for the concerns of Africa to be aired and heard.
"The WSF in Nairobi will bring Africa and Africans' needs onto the world stage. This is the platform for the continent to have a voice," she said.
Other planned events include a debate on public health moderated by Wangari Maathai the Kenyan nobel laureate, a festival for Nairobi's street children, many of whom have lost parents to Aids or have been cast out of their homes, and a marathon.