Those leaving Karachi on Thursday are scheduled to arrive in Islamabad on Monday, where they hope they will join thousands of other anti-government protesters for a rally outside the parliament.
The vow to hold the 1,500km-long march comes in spite of a ban on demonstrations in the provinces of Punjab and Sindh.
Police rounded up about 300 people on Wednesday from cities around the country. Media reports said that the government is planning to blockade the capital.
Among those detained were members of the Pakistan Muslim League-Nawaz (PML-N), Pakistan’s main opposition party.
Nawaz Sharif, leader of PML-N and a former prime minister, had called on Wednesday for people to "change the destiny of Pakistan" by attending the march.
The PML-N quit the cabinet last year to protest against the government's failure to honour a deadline for reinstating the sacked judges.
In February, Pakistan's supreme court disqualified Sharif from contesting elections, fuelling the bitter power struggle between the PML-N leader and Zardari, who briefly allied in the campaign to force Musharraf from the presidency.
Thousands of troops have been put on alert across Sindh province, a spokesman for the Rangers unit said.
"Our paramilitary troops are deployed in and around sensitive places in Karachi including government buildings, major hotels, Western food franchises, diplomatic missions and other installations," Major Mohammad Ali said.
The growing divide between the government and the opposition has increased concerns over the long-term stability of nuclear-armed Pakistan, a major US ally in the fight against the Taliban and al-Qaeda.