"It's my first time being back here since I left 13 years ago. This has been a place where a lot of really special things happened in my life," says Mr Zuckerberg during the 23-minute Facebook Live video. "I'm really grateful."
On February 4, 2004, Mr Zuckerberg launched "Thefacebook," as Facebook was known then, from a laptop on his dorm room desk.
The psychology major, who was due to graduate in 2006, dropped out of Harvard later that year to focus on developing the social networking platform.
Today, Facebook is the world's most popular social networking site with nearly 2 billion monthly users.
On Thursday, Mr Zuckerberg will give the commencement speech at Harvard's graduation ceremony. He'll even get an honorary degree.
"It's pretty personally meaningful to me to actually get a degree from here (Harvard)," he says during the Facebook live. "I promise it means even more to my parents who really wanted me to graduate. This might be the thing they're going to be most proud of me for."
Within six hours of being live-streamed, the video has been watched well over 4 million times. It has collected over 488,000 reactions and has been shared over 27,000 times.
"Amazing. How Facebook grew from that dorm room to now," writes one person.
"You still look like a young collage kid! Congrats on your massive success and your historic contribution to the world! You have changed so many lives! Amazing!" writes another.
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