A video of the incident showed Mr Khan and his supporters ducking on top of a lorry.
Former Pakistan Prime Minister Imran Khan was shot in the leg on Thursday at a political rally in what the country's president deemed "a heinous assassination attempt". He is said to be in out of danger.
A video of the incident showed Khan and his supporters ducking on top of a lorry that has been travelling as part of his days-long protest march from Lahore to Islamabad.
Multiple gunshots, including from an automatic rifle, are heard as the crowd panics.
Khan has been leading a march since Friday from the city of Lahore towards the capital, Islamabad, campaigning for fresh elections after being ousted from office in April.
Khan was wounded when shots were fired from the crowd near Gujranwala, his senior aide, Raoof Hasan, told news agency AFP.
"This was an attempt to kill him, to assassinate him," Hasan said, adding that one alleged attacker had been shot dead and a second taken into police custody.
In a tweet, Pakistan's President Arif Alvi also called it "a heinous assassination attempt".
"I thank Allah that he is safe but injured with few bullets in his leg & hopefully non-critical," he tweeted.
Pakistan has been grappling with Islamist militants for decades, and politicians are frequently targeted by assassination attempts.
In 2007 the nation's first female leader Benazir Bhutto was killed in a suicide attack which still remains unsolved.
Each day during his so-called "long march" 70 year-old Khan has mounted a shipping container towed by a lorry, making speeches from the open top to crowds of thousands in cities and towns along the way.