Around 500 cyclists are taking part in rally, led by Atul Pradhan, a party leader.
The rally began at Jantar Mantar in the heart of Delhi.
Cyclists will reach Lucknow in two weeks from Delhi to woo voters.
The Uttar Pradesh capital Lucknow is located around 550 km from here.
"Cycle chalti rahe," Akhilesh Yadav said, referring to the his party's election symbol.