This still image obtained from video shows Mr Khan being assisted after the attack
He was wounded in the leg when a burst of gunfire hit his vehicle. One person was killed and at least five others were injured.
There was no immediate official comment on the motive for the attack which allies say was an assassination bid.
The protest march had been called to demand early elections.
Mr Khan, 70, was leading the march, which was meant to end in the capital Islamabad.
The former international cricket star turned politician was seen being taken to a hospital in Lahore. A party spokesman said he had been hit in the shin.
He was in a stable condition but an operation was likely, aides said.
Police released a video confession of a man they arrested who they say attempted to kill the former prime minister.
It is unclear under what conditions the interview was carried out but in it the man is asked by police why he opened fire, and replies: "He was misguiding the people. I wanted to kill him. I tried to kill him."
Speaking to the BBC World Service's Newshour programme, a senior aide and spokesperson for Mr Khan accused the Pakistani government of being "directly involved" in the attack.
Raoof Hasan dismissed the government-released video confession as a "crude cover-up" and said the government was "attempting to eliminate [Imran Khan] physically".
The BBC has approached the Pakistani government for comment on the accusations.
Video footage from the scene shows Mr Khan and his supporters on a shipping container being towed by a lorry before a burst of gunfire is heard. Mr Khan is then seen ducking, as those around him try to cover him.
Another video shows a conscious Mr Khan with a bandage on his right leg being taken away in a vehicle after the shooting.
A member of his PTI party is also seen with a bandage on his face and blood on his clothing, saying that people should pray for Mr Khan and all those injured.
Current Prime Minister Shehbaz Sharif condemned the shooting and ordered an immediate investigation. President Arif Alvi said the incident was a "heinous assassination attempt".
A local journalist, Zoraiz Bangash, who saw the attack told the BBC: "It all started when [Mr] Khan was leading the rally and all of a sudden there were gunshots heard and the moment we all realised there was person seen with a pistol, a 9mm pistol and the moment he fired some shots which unfortunately landed on some of the PTI leadership and [Mr] Khan who was shot in the leg.
"And the person was apprehended by a PTI supporter who was standing next to him. The person was arrested and was taken away."
Mr Khan has been leading a protest march - the second such rally this year - for the past seven days, calling for new elections.
The government has repeatedly said it will hold elections next year, as planned.
Last month, Pakistan's election commission disqualified Mr Khan from holding public office in a case described by the former star cricketer as politically motivated.
He had been accused of incorrectly declaring details of gifts from foreign dignitaries and proceeds from their alleged sale. The gifts included Rolex watches, a ring and a pair of cuff links.
Pakistan has a long history of deadly political violence.
In the most high-profile case, former Prime Minister Benazir Bhutto was assassinated at a public rally in 2007.
-- Courtesy of BBC News