The 1,400-kilometre route, starting from the Italian town of Ventimiglia, will see people walk on 60 different stages, stopping along the way to talk to local people.
The crowd that set off on Monday include prominent anti-globalisation activist Jose Bove, a French member of the European Parliament.
It began with a minute's silence in a car park for the 17 victims whom organisers said had died since 2015 trying to cross the border into France via road, rail or on foot on treacherous mountain passes to the north.
"There are lots of us today and I hope that the march will gather energy," Maya Konforti from the French migrant association Auberge des Migrants said at the start.
"We call on all of France and Europe to join us in marching and to do it joyfully, energetically and enthusiastically," she added.
The border between Italy and France has become a bottleneck for migrants travelling north after Paris reinforced its security there with increased policing and passport checks.
Far-right activists from the pan-European movement Generation Identity have also begun patrolling mountain passes to try to stop migrants crossing the Alps into France as more obvious road and rail routes close.
Local authorities in France's Hautes-Alpes region said on Monday that they would no longer allow patrols by the activists, who have sometimes posed as state agents.
"This march is aimed at reaching people while we are walking and explaining that welcoming people is a necessity," Mr Bove said of the march.
Mr Bove, a former farmer, made his name by tearing down a partially built McDonald's restaurant in southern France in 1999 and has since campaigned against genetically modified crops and industrial agriculture.
Like the others, he will not complete the entire route, but organisers say activists will relay each other at different stages.
With AFP
