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Mr Khan was riding on top of a container track surrounded by supporters from his Tehreek-e-Insaf party when the gunman struck.
Video taken at the scene shows Mr Khan suddenly taking cover as gunfire rings out.
The heavy burst of rapid fire is followed by a series of single shots which sent people on the march running for cover.
Mr Khan was slightly wounded in the attack and was later seen with a bandaged foot.
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Sky News Correspondent Cordelia Lynch said: “Imran Khan emerged, he was shot in the left leg.
“He was taken away. I’ve also spoken to a doctor, who said he treated three people”
She reported scenes of confusion and panic following the reported gunfire near Mr Khan’s convoy.
Ms Lynch added: “The injured were taken into an ambulance… a lot of panic… people rushing.”
Meanwhile, no group has yet claimed responsibility for the shooting.
The assassination attempt took place just days after Mr Khan began his march from Lahore, the capital of Punjab province, along with thousands of supporters.
Mr Khan has long blamed his political downfall on a plot orchestrated by his successor as Pakistan’s leader Shahbaz Sharif.
He has also blamed the United States for having a hand in his ousting, something strongly denied by both Mr Sharif and US officials.
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