The demonstrators are scheduled to arrive in Islamabad, the federal capital, on Monday, where they hope they will join thousands of other anti-government protesters for a rally outside the parliament.
"It is a test for the new government, as to whether it will be in a position to give people their democratic rights," Kamal Hyder, Al Jazeera's correspondent in Islamabad, said.
"Across the country there has been a heavy clampdown by the security agencies in spite of the fact that the prime minister said that there would be no problem with the march as long as it is peaceful."
The 1,500km-long march comes despite a ban on demonstrations in the provinces of Punjab and Sindh, where thousands of troops have been deployed.
Police across the country on Wednesday rounded up about 300 people, including members of the Pakistan Muslim League-Nawaz (PML-N), Pakistan's main opposition party.
Nawaz Sharif, the leader of the 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 new civilian government's failure to honour a deadline to reinstate Iftikhar Chaudhry, the former supreme court justice, and other judges sacked by Musharraf.
In February, Pakistan's supreme court disqualified Sharif from contesting elections, triggering a power struggle between him and Zardari, two politicians who had briefly allied in the campaign to force Musharraf from the presidency.
The ruling forced Sharif's party out of power in Punjab, placing the province under central government control.
But in an apparent concession to Sharif, Yousaf Raza Gilani, Pakistan's prime minister, said on Wednesday that the government wanted federal rule over the province to end.
|Sharif, left, has criticised Zardari for not reinstating the sacked judges [AFP]
Whichever party has the sufficient mandate to form the provincial government should take over, he said.
The PML-N has the most support in Punjab, although it does not have a clear majority to run the provincial government alone.
Raja Assad Hameed, of the Nation newspaper, said that many of the protesters are looking for the central government to relinquish its control over the province.
"They are coming to Islamabad to tell Zardari that the mandate in Punjab, the powerhouse of Pakistani politics, should be given back to the legitimate representatives of the people and that the governor's rule should be lifted from Punjab," he said.
"The situation could go anywhere from here; the government has lost its credibility and popularity very prematurely."