Khan, a former cricketing icon, told hundreds of supporters at the beginning of the march that he was struggling for a "new Pakistan" as the rulers have "failed to deliver", Xinhua reported.
The marchers will reach capital Islamabad after covering a distance of nearly 370 km, where they will start a sit-in against the government.
Khan said that he would not end his protest until Prime Minister Nawaz Sharif resigned.
He claims that Sharif has formed the government through "rigging" in last year's general elections, a claim rejected by the government.
Sharif has rejected calls for his resignation and accused Imran Khan of weakening his elected government.
Paramilitary troops and police have been deployed in Lahore, the capital of Punjab province, to ensure security.
The police did not intervene in Khan's march as he started from his residence in Zaman Park area of Lahore.
"We will get rid of the Pharaoh from Pakistan. Today is a decisive day in the history of Pakistan," Khan told hundreds of cheering supporters from the rooftop of his home.
Khan later boarded a truck along with senior leaders of his PTI party. He has named his march the "Azadi (freedom) March" which coincides with Pakistan's Independence Day being celebrated Aug 14.
"Come to Islamabad not for me but for Pakistan," Imran Khan said.
A religious leader and chief of Pakistan Awami Tehrik (PAT), Tahir-ul-Qadri, has also announced a "revolution march" that would join Khan's march.
Authorities in Lahore have, however, not yet allowed Qadri to begin his march and hundreds of police have surrounded his secretariat to foil his attempt.
The government has adopted a tough stance against Qadri after he delivered harsh speeches against the government.
It has also accused him of inciting people to indulge in violence.
President Mamnoon Hussain Thursday warned against political adventurism at a time when the country was facing the threat of terrorism with the security forces engaged in an operation in North Waziristan tribal region.
A court in Lahore had earlier stopped Imran Khan and Qadri from the "unconstitutional marches".