Many Pakistanis are angry at the US raids
Pakistani authorities have refused to let them pass.
But the border is notoriously difficult to police and correspondents say the tribesmen may try and slip across in small groups.
The tribesmen gathered in response to calls for volunteers by local Islamic militants. Most come from villages inside Pakistan's North West Frontier province, which has strong cultural and family ties with Afghanistan.
The BBC's Susannah Price in Islamabad says the Pakistanis are concerned that, if any of the volunteers are killed, their funerals could become a rallying point for pro-Taleban supporters.
Local officials said up to 9,000 people were on the move on Saturday, using hundreds of buses, trucks and vans.
Rifles and swords
A reporter with the Associated Press who spent time with some of the men said they were armed with assault rifles, machine guns, rocket launchers, axes and swords. Pakistan's President Pervez Musharraf has been trying to stop popular opposition to the US raids from spiralling into wider unrest.
President Musharraf has repeated his concerns that the US-led raids should not continue into Ramadan, the Muslim month of fasting, which begins on or around 15 November.
"There is concern not only in the Islamic world, but the entire world, in the West and in the United States, at all the civilian casualties and the miseries that the civilians are being put through in Afghanistan," he said.
Cleric's call
The call for volunteers was made by Sufi Mohammed, an outspoken Muslim cleric and head of Tehreek Nifaz-e-Sharia Mohammadi, a group which supports the imposition of Islamic Sharia law.
On Friday, Sufi Mohammed said: "This is a strange occasion of world history. For the first time, all the anti-Islamic forces are united against Islam."
But our correspondent says that although the Taleban have many Arab, Pakistani and other foreign volunteers with them, they seem unenthusiastic about the prospect of untrained foreign fighters joining them.
In a separate show of opposition to the US strikes, pro-Taleban Pakistanis were reported to have blocked a key transport link between the country and China.
The Associated Press, quoting local police officials, said pro-Taleban groups had blocked the Karakoram Highway with boulders and land mines.
Riaz Durrani, a spokesman for Jamiat Ulema-e-Islam, an influential Pakistani religious party, said: "Tribesmen have closed it to express solidarity with Taleban and to participate in the agitation launched against government's support for America".