Mr Kejriwal has reached Rajpath with his yoga mat.
"Yoga is a good thing. Everyone should do it," he told NDTV.
Like PM Modi, Mr Kejriwal has been practicing yoga for a long time.
The chief minister says he finds it a great stress buster. After a hard campaign for the Delhi assembly election in February, Mr Kejriwal had gone for Vipassana meditation. After taking office, the chief minister attended a naturopathy course in Bengaluru, which included yoga.
PM Modi, an ardent proponent of yoga, will speak at the early morning function at Rajpath but won't perform asanas.
The International Yoga Day events are being held across cities, towns and districts in the country. It is also being celebrated in 192 countries.
Indian missions abroad are all geared up the mark the occasion with some public events.
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