Labour leader Jeremy Corbyn addressed protesters at a rally in Trafalgar Square, The Standard reported.
Opposition lawmakers, backed by an online petition signed by almost 1.9 million people, called on May to cancel the state visit, which is estimated to cost between £8m and £10m in security and policing.
I am sorry to bring race or religion into this, it's ever so tedious and I am as bored of it as you are, but the inescapable fact is that the only difference is that Khan is Muslim and brown.
Thousands of people are expected in Edinburgh at a Carnival of Resistance in the Meadows area.
Campaigners will also gather outside the Trump International Golf Links in Aberdeenshire, his second course, and there could be some protests at Turnberry.
Trump departs on Sunday evening.
"It is frightful to hear the inflammatory language that he uses and I am embarrassed that (Prime Minister) Theresa May has done so much to welcome him". The vast majority of British people are appalled by his words and deeds.
Khan said pro-Trump supporters would march on Saturday, although some were present on Friday, separated from the main demonstration by police.
Mr Trump and Mrs May's talks at Chequers took place after the Sun published its wide-ranging interview with the president in which he was critical of the PM's Brexit plan.
But standing alongside Mrs May after the meeting at her country residence, Mr Trump praised her as an "incredible woman" and a "very tough negotiator" who was "doing a fantastic job", and said there could be a "great" trade deal between the United States and UK.
London Mayor Sadiq Khan, who was criticised by Trump in the Sun interview for failing to control crime and prevent militant attacks, gave his blessing for the blimp to be flown and rejected suggestions this showed a lack of respect to the USA president.
"I think he has done a bad job on crime, if you look, all of the terrible things going on there, with all of the crime that is being brought in".
British Prime Minister Theresa May said she and Donald Trump had agreed to complete a trade deal between their countries as soon as the United Kingdom leaves the European Union, moving past tensions raised by the USA president's criticism of her Brexit strategy.
Addressing the row at a joint news conference with Mrs May on Friday, Mr Trump claimed he "didn't criticise" Mrs May and has a "lot of respect" for her.
Trump described Brexit as a "very tough situation... between the borders and the entries into the countries and all of the things", saying: "The only thing I ask is that she work it out so that we can have very even trade". "He's been saying very good things about me as president".
"We have this stupidity going on, pure stupidity, but it makes it very hard to do something with Russia because, anything you do, it's like: "Russia, oh he loves Russia", Trump said.
He continued: "She said "don't worry it's only the press".