Sarajevo was chosen for the rally after several European Union countries, including Germany, banned such rallies in the campaign for last year's referendum on a new system enhancing the powers of the Turkish presidency.
The decision sparked tension between Ankara and Brussels.
Turkey heads to presidential and parliamentary polls on June 24.
Erdogan has previously drawn controversy for electioneering in Europe, where there are some three million Turks eligible to vote in Turkish elections, including 1.4 million in Germany.
According to Bosnian media, around 20,000 people are expected for the rally in Sarajevo's largest sports venue Zetra.
Two giant portraits of Erdogan and Turkey's first president Mustafa Kemal Ataturk, were placed in the hall on Saturday.