Lukashenko's visit will be the first to Soviet-era master Russian Federation by the Belarusian leader since protests broke out over his disputed election win last month.
The atmosphere was tense, with a large police presence in parts of the capital, and some central areas sealed off with barbed wire, including Oktyabrskaya Square and Independence Square - common focus points of anti-government rallies.
Video filmed by local news outlet TUT.by shows a number of people being chased, tackled to the ground, detained by plain-clothed individuals wearing black balaclavas, and put into unmarked vans.
Thousands of women have become the leaders of daily protests in Belarus against a contested election now in their fifth week.
"You know what we agreed with the Russian establishment and leadership?" he said.
Tsikhanouskaya, who stood against Lukashenko in place of her better-known husband who was detained before election, called on Saturday for the police to stop cracking down on dissent. "He always lied to us", he said.
Russian President Vladimir Putin has backed Lukashenka, who has refused to give up power.
"This country is not for sale", read one placard at the march.
But Andrei Suzdaltsev of the Higher School of Economics said it was unwise of Moscow to support Lukashenko after he has lost legitimacy in the eyes of many in Belarus.
Lukashenko, 66, called Putin his "older brother" and suggested their fates were intertwined in an interview with Russian media broadcast September 9.
"The crowds of people were so big that police were no longer able to make those arrests", said Connolly.
Most opposition leaders are now...
Police detained more protesters in Vitebsk, Gomel and Baranovichi, said the Viasna human rights centre in Minsk.
Presidential candidate Svetlana Tikhanovskaya, who the protest movement says won the vote on 9 August but was forced out of the country, paid tribute to demonstrators ahead of the march. She has taken shelter in European Union member Lithuania after coming under official pressure.
Lukashenko - in power for 26 years - is facing a groundswell of public anger after declaring a landslide win at last month's presidential election that his opponents say was rigged.
"Russia will seek to fully capitalise on its support for Lukashenko", analyst Konstantin Kalachev told AFP.
On Friday, the United States said it would impose new sanctions on Belarusian figures within days and warned Moscow that continuing to back the strongman would only alienate Belarusians. Several people have died in the crackdown.
UN Secretary General Antonio Guterres said he was "deeply concerned" over the use of force against peaceful protesters and also expressed worry over "the detention of people exercising their legitimate democratic rights".