The two-week trip - called the "Zapatour" by local newspapers - is the first time the rebel leader Subcomandante Marcos has emerged publicly from the southern state of Chiapas since the EZLN launched its revolt for indigenous rights on 1994.
A crowd of more than 10,000 people brought the city of Oaxaca to a standstill as the so-called peace convoy swept into town.
Mexico is witnessing what some people say is its largest ever demonstration of civil solidarity aimed at gaining greater rights for the country's indigenous people.
'Zapatour'
The two-week trip - called the "Zapatour" by local newspapers - is the first time the rebel leader Subcomandante Marcos has emerged publicly from the southern state of Chiapas since the EZLN launched its revolt for indigenous rights on 1994.
At the front of the convoy of 60 vehicles was the coach carrying the mysterious Zapatista leader, Subcomandante Marcos, as well as 24 of his commanders.
He, like his men, wore a black balaclava in public, never revealing his face.
Demands
Addressing the crowd, Marcos said the time had come for change in Mexico.
The Zapatistas are scheduled to arrive in Mexico City in two weeks for a meeting with members of congress.
The president, Vicente Fox, has offered to meet them, but so far no encounter has been scheduled.
The EZLN, for which Marcos is the main spokesman, says it now has at least 25,000 supporters en route to Mexico City.
The peace convoy is expected to pass through 12 states on the way to Mexico City.
The EZLN claim to represent the poorest and most marginalised of Mexico's 100 million people - 10% of whom are classified as indigenous.
A note thrust into the rebel's bus on Sunday warned that the guerrilla chief would be killed in the town of Jalapa de Marquez on the road to Oaxaca.
Early on Monday the Oaxaca authorities arrested a man in connection with another death threat against Marcos.
Rogelio Zarate Valtierra, 65, said it was merely a warning for the rebel's safety.