The demonstrators say the sanctions have ruined the Zimbabwean economy.
But the US and EU argue they have been imposed on individuals and companies and have no impact on the economy.
The government has made the day a public holiday, provided buses for marches and President Emmerson Mnangagwa is expected to give an address at the National Sports Stadium.
Critics say the government is trying to deflect anger about the worsening economic crisis which has seen increasing inflation and people's incomes falling.
Opposition leader Nelson Chamisa has said the protests are part of a propaganda effort to mask the country's "failed leadership".
The US financial and travel restrictions currently apply to 85 individuals, including President Mnangagwa, and 56 companies or organisations.
The US also imposed a ban on arms exports to Zimbabwe.
EU sanctions also target specific individuals both within the Zimbabwean government and associated with it.
Travel restrictions and a freeze on assets have been imposed, along with the sale of military hardware and equipment which might be used for internal repression.
Some of the sanctions started 20 years ago but in March the US government added to its list military officials involved in last year's deadly crackdown on protesters.