A police official said that the militants were nabbed from Ghauri Town area of the capital during the week.
He said the two men were arrested after Shia mosque attack and during the interrogation they confessed to planning the attack on March 23. A large cache of weapons was also seized from them.
Prime Minister Nawaz Sharif and army chief General Raheel Sharif decided last month to organise the annual parade after a break of seven years.
The last parade was organised in 2008 during the rule of former military ruler General Pervez Musharraf.