The march is set to be the biggest in the Nordic Resistance Movement’s (NRM) history with thousands of people from across the world expected to attend.
Swedish police has already arrested several demonstrators ahead of the protest, which has been dubbed the “revolt against the traitors”.
According to Aftonbladet, the police are on high alert as a number of violent protesters - both extreme right and left wing - are expected to attend.
A police officer said: “We expect chaos.”
Police are using horses to keep the demonstrators and counter-protesters apart.
Stefan Gustafson, police press spokesman in the Western region, told Expressen GT: “We will use as many horses as we can, but they will only be used if there is reason to do so.
“Horses are very effective in separating crowds and making groups take distance from each other.”
The Swedish security police (Säpo) considers the NRM to be the most dangerous neo-Nazi group in Sweden.
The neo-Nazi movement has several hundred members in Sweden, with an unknown number of members in both Norway and Finland.
According to reports, the group uses secret chatrooms to discuss how new members will receive weapon training.
Some members are said to have received weapons training through military service for the Swedish military.
Säpo and Norwegian security service PST are closely watching the group.
Six Alsén, senior advisor in Pst, told VG: “We are closely following the development in Norway and the Nordic countries.”
NRM has, on its affiliated websites, written that the demonstration will be “massive and epic”.
Opponents of the group, including several Norwegian left-wing groups, have announced they will mobilise against the march.
Organisations Motmakt and Antifascistic Action will send busses from Oslo on Saturday, while they also expect protesters from Denmark and Finland to join in.
The counter-demonstration aims to gather 10,000 people.
The NRM has been granted permission to march between 1pm and 3pm in Gothenburg today.
Large parts of Gothenburg’s centrum has been closed off with roadblocks, while 1,000 police officers are on the streets to follow the march.
Police has also set up a temporary station where hundreds of people can be held.
Ann-Sofi Hermansson, leader of the municipal council in Gothenburg, said: “I would be lying if I said I’m not worried”.
The march coincides with the Jewish holiday Yom Kippur, and the route was initially planned to pass close to a synagogue in the city.
But earlier this week a local court changed the route by cutting its total lengthy by almost a half, citing risks to public order and security.