STORY: A member of Khan's Pakistan Tehreek-e-Insaf (PTI) party said several colleagues were also wounded amid reports one had been killed. Khan was taken to hospital.
The attack happened in Wazirabad, nearly 200 km (120 miles) from the capital, Islamabad.
Former cricketer Khan, 70, was leading a protest march on Islamabad to demand snap elections. There were hundreds of people in the convoy.
A bullet hit his shin, PTI spokesperson Fawad Chaudhry said.