The rally has been organised by the right-wing Freedoms and Rights Coalition, led by firebrand conservative Brian Tamaki.
Mr Tamaki, who has previously led rallies against gay rights, has mounted a campaign attacking Jacinda Ardern's government for its COVID-19 response, including mandates he says curb the freedoms of Kiwis.
The group intends to stage a mock court outside parliament, charging Ms Ardern and others - including politicians, health experts and journalists - with "crimes against humanity".
As they walked through Wellington's city centre to parliament, one of the chants sung was "when I say 'Cindy', you say 'jail time'," referring to a diminutive of the prime minister's first name.Â
Ms Ardern - who said no Labour MPs would attend the protest - called for protesters to remain calm.
"What's most important is that it remains peaceful and lawful," she said ahead of their arrival.
The protest comes after a similar summer event spiralled out of control, producing a 23-day occupation that ended in arson and violence.
Protesters set fire to a children's playground and threw pavers at police during a harrowing showdown back in March as officers cleared the occupation.
More than 100 people were arrested on charges including arson, grievous bodily harm, inciting violence, theft, assault, trespass and obstruction.
Wellington District Commander Superintendent Corrie Parnell told Radio NZ police would be apprehending any individuals from the summer occupation who attempted to return to parliament in contravention of trespass orders.
Researchers warn dangerous individuals, including neo-Nazis, could infiltrate the rally.
Ms Ardern said she had no desire to block protests at the seat of New Zealand's democracy.
"(Protest) is part of who we are as a nation," she said.
"Parliament is working very hard to make sure that we're balancing our responsibilities in a democracy that has historically and will continue to welcome peaceful and lawful protest."
There is a huge police presence around Wellington and the parliamentary precinct for the event.
Mr Tamaki says the group's involvement will end at 2pm, and that he cannot be held responsible for any events after that point.
"Good Morning Freedom Family! A reminder today's protest at parliament is non-violent," a Facebook post from the group said.
During his speech, Mr Tamaki announced the formation of a new political party named Freedoms NZ, which will attempt to win seats at next year's election.
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