Khan, who has been in jail for more than a year and faces more than 150 criminal cases, remains popular.
His party, Pakistan Tehreek-e-Insaf or PTI, says the cases are politically motivated.
The "long march" comes before a visit by Belarusian President Alexander Lukashenko to Islamabad.
The convoy of vehicles carrying protesters was expected to reach the capital later on Monday.
Security officials say they expect between 9000 and 11,000 demonstrators, while the PTI claims the number will be much higher.
The lockdown, which has been in place for two days, has disrupted daily life.
Security officials say they expect between 9000 and 11,000 demonstrators in Islamabad. (AP PHOTO)
Travel between Islamabad and other cities has become nearly impossible.
"We are determined and we will reach Islamabad, though police are using tear gas to stop our march," Kamran Bangash, a PTI senior leader, told The Associated Press.
"We will overcome all hurdles one by one, and our supporters are removing shipping containers from roads."
Bangash also said Khan's wife, Bushra Bibi, who was recently released on bail in a graft case, will lead the march along with Ali Amin Gandapur, the chief minister in Khyber Pakhtunkhwa province where Khan's party remains in power.
Almost 50km away from Islamabad, Bibi, wearing a white head-to-toe burqa, addressed protesters while sitting in a truck, urging them to remain determined to "achieve their goal" and free Khan.
She then chanted, "God is great" and left.
Khan's main political opponent, Prime Minister Shehbaz Sharif, heads the government.
Sharif's spokesman, Attaullah Tarar, said on Sunday that whenever any high-profile foreign delegation came to Pakistan, the PTI "begins the politics of long marches and onslaught on Islamabad to harm the economy".
Imran Khan's wife Bushra Bibi will lead the march in support of her husband. (AP PHOTO)
Some economists say protests cause billions of rupees in damages to the country's fragile economy.
Protesters on Sunday night burned trees as police fired tear gas to disperse crowds.
Khan supporters retaliated by using slingshots and pelting security personnel with rocks.
In a bid to foil the protest, police have arrested more than 4000 Khan supporters since Friday and suspended mobile and internet services "in areas with security concerns", which the PTI said affected the efficacy of its call for protest on social media.
On Thursday, a court prohibited rallies in the capital and Interior Minister Mohsin Naqvi said anyone violating the ban would be arrested.
Authorities say only courts can order the release of Khan, who was ousted in 2022 through a no-confidence vote in parliament.
He has been imprisoned since his first conviction in a graft case, in August 2023.
Khan has also been sentenced in several cases, including to three years, 10 years, 14 years and seven years to be served concurrently under Pakistani law.
His convictions were later overturned on appeal but he cannot be freed due to other pending cases against him.
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