Sulejman Tihic, a former Bosnian president and himself a survivor, is leading the march.
Thousands fled Srebrenica - a Muslim enclave of 30,000 people which had been declared a "safe haven" by the United Nations - when Bosnian Serb forces entered in July 1995.
They headed for for the town of Tuzla about 50km away pursued by Serb forces with heavy weaponry.
Army of ghosts
When they finally arrived they were hungry, dehydrated and clothed in rags. Witnesses said they looked like an army of ghosts.
Now the survivors are making the walk in reverse - back to the place where the massacres took place.
The 12th anniversary of the killings will also be marked by the mass burial of more than 400 recently identified bodies from a mass grave.
Bosnian Serb police have promised tight security the event amid fears of unrest after recent demands by Muslim officials to have the town removed from Bosnian Serb control..
"Between 1,100 and 1,200 Bosnian Serb policemen will be engaged in providing security in Srebrenica" Uros Pena, police chief, said. "It is estimated that the event carries an increased level of security risk."