Security preparations are underway for the king's return
The two men are due to meet Italian Prime Minister Silvio Berlusconi before heading to Kabul, where they are expected on Thursday.
Zahir Shah's return has been postponed several times in recent weeks due to security concerns.
Officials in Rome said those matters had now been addressed, and that Italian paramilitary police would help guard the king.
Mr Karzai, along with many ordinary Afghans and Western officials, is hopeful that Zahir Shah will act as a unifying figure for Afghanistan's many ethnic groups.
But observers say some powerful figures - including members of the Northern Alliance - are wary of his return, fearing it could provide a rallying point for their opponents.
Expectations
However, Defence Minister General Fahim - an ethnic Tajik - was at the airport to see off Mr Karzai from Kabul in what is being interpreted as a sign of support for the king's return.
Zahir Shah:
Full profile Zahir Shah - a Pashtun - has been living in exile in Italy since he was deposed as king in 1973 after ruling Afghanistan for 40 years.
He has said that he is not coming with the intention of reclaiming the throne of Afghanistan, but he is expected to open the Loya Jirga or grand tribal council to be convened in June.
Special security arrangements have been made ahead of his return.
The Italians disclosed on Tuesday that carabinieri paramilitary police would take up positions inside the king's residence, working alongside Afghan bodyguards who would eventually take the job over.
Security has been reinforced at the villa where Zahir Shah will live, and nearby streets have been blocked off.
Loya Jirga
The Loya Jirga, to which elections have begun, will choose an 18-month transitional government to replace Mr Karzai's interim administration.
Some reports have also suggested that he would agree to lead Afghanistan again if the Loya Jirga asked him to do so.
Although the country appears to be moving towards an elected administration, there are increasing worries about a resurgence of al-Qaeda and Taleban activity, especially as the weather in the mountains improves.
Last week, there was an assassination attempt on the Afghan defence minister.