Police entered his property after Khan arrived in Islamabad for the court appearance. Earlier this week, police and Khan's supporters clashed outside his home earlier during the arrest attempt.
Khan, who was shot and wounded while campaigning in November, said in an interview the threat to his life is greater than before and asserted - without providing evidence - that his political opponents and the military want to block him from standing in elections later this year.
The military and government did not immediately respond to requests for comment.
Security was tight around the judicial complex where Khan, 70, was headed in a motorcade surrounded by supporters.
'Govt intends to arrest me'
The court has previously issued arrest warrants for Khan in the case as he had failed to appear on previous hearings despite summons.
On his assurance that he would appear on Saturday, the court granted Khan protection against arrest, but he said he feared the police and government planned to take him into custody.
"It is now clear that, despite my having gotten bail in all my cases, the (Pakistan Democratic Movement coalition) govt intends to arrest me. Despite knowing their malafide intentions, I am proceeding to Islamabad & the court bec(ause) I believe in rule of law," Khan said on Twitter.
"It is also obvious now that the entire siege of Lahore was not about ensuring I appear before the court in a case but was intended to take me away to prison so that I am unable to lead our election campaign."
Pakistan's information minister said this week the government had nothing to do with the police action and the police were complying with court orders.
The case to be heard on Saturday pertains to charges that Khan sold luxury watches and other items given to the state during his 2018-2022 term as prime minister.
There were reports of fresh clashes between police and supporters of Khan and his party, the Pakistan Tehreek-e-Insaf (PTI) in Lahore.
Punjab information minister Amir Mir told Reuters that police had arrived outside Khan's house to collect evidence about attacks on police and people wanted in various cases.
"When police arrived, the PTI activists tried to stop them by pelting stones and baton attacks. In retaliation, police arrested many of them. Police had already informed the PTI leadership about the evidence collection process," Mir said.