Mr Guaidó declared himself interim leader during anti-government protests last month and is recognised by dozens of foreign states.
Buses forming his convoy set off from the city on Thursday to cheering crowds.
Mr Guaidó and his allies hope to collect food and medicine in defiance of President Maduro.
The Venezuelan military has so far managed to block shipments of US aid from coming across the border with Colombia.
Despite denying there is any humanitarian crisis, Mr Maduro announced this week that 300 tonnes of aid would be shipped to Venezuela from its ally Russia.
More than three million Venezuelans have fled in recent years as the country grapples with hyperinflation and shortages of essentials like food and medicine, the UN says.
Mr Maduro, who has been in power since 2013, has been criticised at home and abroad for his handling of the economy.
Flanked by Defence Minister Vladimir Padrino Lopez and other top military commanders, Mr Maduro announced that the border with Brazil would be closed "completely and absolutely" from 20:00 (23:00 GMT) until further notice.
The president also added: "I don't want to take any decision of this type but I am evaluating it, a total closure of the border with Colombia."
He says the delivery of aid is part of a US-led attempt to depose his government and seize Venezuela's oil reserves.
The right-wing Brazilian government of President Jair Bolsonaro is among those that recognise Mr Guaidó as Venezuela's legitimate leader, pending elections.
Presidential spokesman Gen Otávio Régo Barros said on Tuesday that, in co-ordination with the US, food and medicine would be available in the border town of Pacaraima to be collected by "the government of acting President Juan Guaidó in Venezuelan trucks driven by Venezuelans".
"Brazil is taking part in this important international initiative to support the Guaidó government and the Venezuelan people," he said.
Mr Guaidó has said 600,000 volunteers have already signed up to help carry aid into the country on Saturday.
Venezuela earlier closed its sea and air border with Curacao, a Dutch Caribbean island off Venezuela's north coast which is planning to host US aid.
Where is the convoy going?
It is expected to travel some 800-900km (500-560 miles) to the Colombian border where aid is being stockpiled at two points.
"Confirmed - it's rolling," a spokesman for Mr Guaidó's convoy told AFP news agency on Thursday after he left Caracas by car.
Earlier in the day, other vehicles in the convoy were blocked for several hours before being allowed to proceed, AFP says.
"We know that the regime is going to put all obstacles to prevent us from reaching the border, but nothing is stopping us, we are going to continue," opposition MP Yanet Fermin told the news agency.
Meanwhile, the Venezuelan government announced it would deliver 20,600 of its own food boxes to the Colombian border area.
A video posted on Twitter by Food Minister Luis Medina Ramírez showed cargo lorries.