Metal barriers have been placed around the building to block access from every possible direction, correspondents say.
Indignants, as the protesters are known, say they are protesting at the “kidnapping” of democracy.
Spain’s provinces have piled pressure on the government with a possible new bailout request and an early election.
Andalucia is considering asking for a 4.9 billion euro ($6.3 billion) emergency credit line from the central government, a spokeswoman for the regional government confirmed for Reuters news agency.
Three other regions – Catalonia, Valencia and Murcia – have already said they will seek emergency funds.
In Catalonia, President Artur Mas called an early election for 25 November, which correspondents say will be a de facto referendum on his demands for greater independence for the province.
There is real concern in Europe that Spain may need an international bailout going beyond the 100 billion euros ($125 billion) pledged by eurozone finance ministers in June to rescue its banks.
Thousands of people have gathered in central Madrid for the march to parliament, due to begin at 17:30.
Buses were reportedly laid on to ferry demonstrators into the capital from the provinces.
One of the main protest groups, Coordinadora #25S, said the Indignants did not plan to storm parliament, only to march around it.
The Coordinadora #25S manifesto reads: “Democracy has been kidnapped. On 25 September we are going to save it.”
Pablo Mendez, an activist from the 15M Indignants movement, told the Associated Press news agency: “This is just a powerful signal that we are sending to politicians to let them know that the Spanish bailout is suicide and we don’t agree with it, and we will try to prevent it happening.”
Another demonstrator, Montse Puigdavall, said: “I’m here because of the situation we are living in now, because of all the social cuts and rights that we have lost, that took a lot of hard work to achieve.
“So we are here because we’re determined not to lose them.”
Under Spanish law, people who lead demonstrations outside parliament that disrupt its business while it is in session may be jailed for up to one year, AFP notes.
Clashes have broken out at previous rallies and marches against the cuts and at least 1,300 police are said to be on duty at the Congress building.
The Spanish government is having to borrow heavily to cope with the effects of a property values collapse, a recession and the worst unemployment rate in the eurozone.
After nine months in government, Prime Minister Mariano Rajoy is still resisting pressure to request a bailout.
His government insists the 100 billion-euro pledge does not constitute an international financial rescue.
If Mariano Rajoy does request a bailout, it may not happen before late October because of a regional election in his home province, Galicia.
Catalonia’s election decision comes days after Mariano Rajoy rejected a request from the wealthy but indebted region to run its own fiscal affairs.
The region is legally barred from holding an actual referendum on independence.
“It is time to take the risk,” Artur Mas told the regional parliament.
“If Catalonia were a state we would be among the 50 biggest exporting countries in the world.”
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