The march, in solidarity with the transgender community, runs from Dolores Park down to United Nations Plaza.
The official party begins Saturday at noon at Civic Center Plaza. Then on Sunday, one of the world's best-known Pride parades winds down Market Street, starting at Beale Street and ending at 8th Street.
Police are expecting a huge crowd.
"We have expected a crowd of about a million people, both residents that live here and come out, visitors that come from across the world to come and see this event," San Francisco Police Department spokesperson Albee Esparza said. "This is the largest LGBT event in the nation."
Organizers promise more than 20 stages complete with musical acts, performances and plenty of room for dancing.