Authorities have warned that militants could attack the procession.
Police escorted the convoy out of the capital, Islamabad, where the journey started on Saturday.
The participants, who are traveling on foot and in cars, plan to rally in the eastern city of Lahore, where 47 people died in a suicide bombing at a Sufi shrine in July.
The protest is sponsored by the Sunni Ittehad Council, which condemns terrorism but criticizes the government for failing to protect religious sites.
The Taliban and other Sunni extremists see shrines to Sufi saints as idolatry and consider Shiite Muslims heretics.