The symbolic move by the young Shiite cleric comes after thousands of his supporters have been camping outside the restricted area's entrances for more than a week.
Sadr wants Prime Minister Haider al-Abadi to enact reforms tackling corruption and announce a technocratic government to replace the current cabinet of party-affiliated ministers.
In his most recent address, Sadr had said Abadi should announce new measures by yesterday or face further pressure from the street.
Late in the afternoon today, Sadr walked into the so-called Green Zone, not only unopposed but even apparently assisted by members of the security forces.
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The Green Zone covers a sprawling area by the Tigris in central Baghdad. It houses the prime minister's office, parliament as well as the US embassy, which is the world's largest.
He asked his supporters to be steadfast in their peaceful protest to push for reforms and warned against any violent behaviour.
"Whoever harms the security forces harms me personally," he said.
Sadr's entourage set up two foam mattresses and a small marquee to shelter him from the rain as the cleric prepared to begin his sit-in protest.