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Members of his PTI party said another four people were hurt on Thursday – but no-one was killed.
It was not clear whether he had been hit in the foot or leg, but an aide was quoted as saying he was not in danger.
Mr Khan, 70, was leading the march on the capital Islamabad to demand snap elections.
A senior aide told AFP news agency: “This was an attempt to kill him, to assassinate him.”
Story by BBC
Additional reporting by Sky News
Former Pakistan prime minister Imran Khan has been shot in the leg in what his supporters say was an assassination attempt.
A gunman opened fire while Mr Khan, 70, was giving a speech to supporters at a rally in Wazirabad in Punjab province, officials said, wounding him and some of his supporters.
Sky’s Cordelia Lynch, who was at the scene, said a Sky News producer was standing close to Mr Khan soon after the injured politician emerged from his container truck.
Mr Khan was rushed away from the scene to hospital and his supporters said he had survived the assassination attempt.
The former cricketer – who has been pushing for new elections after being ousted from power in April – has been delivering fiery speeches at gatherings across the country.
He was six days into a march from Lahore to Islamabad in his drive to bring early elections to the country, pushing for radical change, when the shooting took place.
Large crowds had gathered to hear him speak – and Lynch said she had just interviewed him about threats of violence – when there was a “sudden commotion”.
“The injured were taken into an ambulance… a lot of panic… people rushing. No one could quite work out what was happening,” said Lynch.
“Then Imran Khan emerged. He had been shot, I understand, in the left leg.
“In fact, our producer here, Mohammed, was able to see that. He was very close to Imran Khan as he emerged.
“He was taken away… a doctor, who was close by, treated three patients.”
She added: “This was the worst case scenario – what so many people were concerned about was that this peaceful protest had the potential to turn violent.”
Mr Khan had been traveling in a large convoy of trucks and cars heading towards the capital, as part of his campaign.
Prime Minister Shehbaz Sharif condemned the shooting and has ordered an immediate investigation.