Zuma faces 16 counts of corruption, racketeering, fraud and money laundering, which he has denied.
Mr Zuma is accused of taking bribes connected with a $2.5 billion arms deal with Thales, the French defence company, in the 1990s.
The original charges against Mr Zuma, which arose from 783 suspicious payments he received, were controversially dropped in 2009 shortly before he was appointed South Africa's president for the first time.
Former president Jacob Zuma has used Friday's address to his supporters, to proclaim innocence, to indirectly attack the African National Congress (ANC) and to express his gratitude towards the party's members and religious organisations for supporting him as he faces what he describes as political charges.
Answers to parliamentary questions reveal that the funding of Zuma's battles against his prosecution has so far cost taxpayers at least R32.4-million.
Zuma was deputy president at the time.
Last year, the supreme court of appeal in Pretoria, South Africa's highest court, declared that the decision to set aside the corruption charges was irrational.More news: Richard Branson's Virgin Galactic tests spaceship over California's Mojave Desert
The ANC forced Zuma from office in February largely due to his mounting legal challenges and multiple corruption scandals, and it has distanced itself from its former leader.
There is a strong police presence following the marchers along their route to the High Court where they will congregate and await Zuma's arrival.
BE prepared for the long haul, as Jacob Zuma's legal team yesterday provided a possible glimpse of the tactics they will employ to keep the former president from a jail cell.
Zuma said the sex with the 31-year-old family friend was consensual and he was acquitted.
Zuma thanked the crowd for supporting him, as they had previously.
Many supporters flocked to the site, dressed in the ANC colours of green, gold and black.
The decision by ANC to make the way clear for Zuma is contrary to its previous public displays of support and defense of Zuma during the 2006 rape trial and previous attempts to charge him for corruption. It argues Mr Zuma was unceremoniously removed from his position as party leader and president to protect white business interests.
"There are those I trusted that are adamant that I must be found guilty".