The main stage at Rabaa Al-Adawiya Mosque, where supporters of ousted president Mohamed Morsi have been holding a sit-in for several weeks, announced late on Sunday that a march had left the demonstration heading to the headquarters of Egypt's military intelligence.
Speakers called on demonstrators to join the march to the Nasr City military building in protest at what they describe as a military coup against Morsi.
Morsi's ouster on 3 July following mass nationwide protests against him was part of a military-imposed roadmap, which also saw the Shura Council dissolved and the 2012 constitution frozen.
Earlier in the day, peaceful marches from Rabaa headed to various embassies in Cairo, including the US mission, to press for the reinstatement of Morsi.
Two marches were staged to protest the killing of at least three women at a pro-Morsi protest in the city of Mansoura on Friday.
Thousands of Morsi's Islamist backers have been taking to the streets across the country since his ouster to demand his reinstatement.
The area around Rabaa Al-Adawiya Mosque in Cairo's Nasr City has been the site of a pro-Morsi sit-in since 28 June.