The Iraqi Prime Minister Nouri Maliki has warned that those who use mosques to provoke sectarian violence will be prosecuted under anti-terrorism laws.
The annual pilgrimage was marred by bloodshed last year
Mr Maliki asked clerics to urge people to unite and shun whatever could lead to sectarian clashes, as Shia faithful attended an event at a Baghdad shrine.
The ceremony, honouring an 8th-Century Shia leader, was marred last year when a stampede caused some 1,000 deaths.
Special security measures include a two-day vehicle ban in Iraq's capital.
On Saturday, police sealed off streets near the shrine in the Kadhimiya area after seven pilgrims were shot dead.
Inside the mosque containing the tomb of Mousa Kadhim, pilgrims have been listening to recitations in praise of the eighth century Imam and beating their chests in a Shia ritual of mourning.
Others have gathered around the shrine after walking to Baghdad as pilgrims, many carrying flags in religiously symbolic green and yellow colours.
Mr Maliki warned against turning the ceremonies into a political demonstration.
The city has seen months of sectarian violence between Shia and Sunni Muslims, fuelling fears of a civil war.
Correspondents report that Mehdi Army militiamen, loyal to the radical Shia cleric Moqtada al-Sadr, have been providing protection for some groups of pilgrims.
The seven pilgrims killed on Friday night were attacked in a Sunni suburb.
The authorities have warned pilgrims not to accept food or drink from people they do not know or trust.
The US military has deployed thousands of extra troops in Baghdad in recent weeks as part of a new security drive ordered by Mr Maliki.
On 31 August last year, mortars were fired at the mosque housing Imam Musa Kadhim's tomb and rumours spread of possible suicide bombers.
In the ensuing stampede, almost 1,000 pilgrims died - the highest death toll on a single day since the 2003 war that toppled Saddam Hussein. Many of the dead were women and children.
In the Baquba area, north of Baghdad, gunmen killed at least nine civilians on Saturday.
Two university lecturers were among those shot dead in separate incidents in and around the town, which has been racked by violence.
Meanwhile, Pope Benedict XVI has appealed for the release of an Iraqi Catholic priest, Father Saad Syrop Hanna, who was kidnapped in Baghdad on 15 August.