The trip by the flamboyant basketballer comes days after North Korea rejected a visit by a US envoy who had hoped to bring home an American missionary jailed there, Kenneth Bae.
Speaking to reporters at the Beijing airport before leaving for Pyongyang, Rodman declined to say whether he would seek Bae's release.
"I'm not going to talk about that," he said.
"I just want to meet my friend Kim, the marshal, and start a basketball league over there," Rodman said.
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Bae was arrested in November and sentenced to 15 years of hard labour for what Pyongyang described as hostile acts against the state.
Rodman once asked on his Twitter account for Kim to "do me a solid" and release Bae. Kim has the power to grant special pardons under the North's constitution.
Rodman first met Kim a die-hard basketball fan during a visit in February to promote the sport and make a film. US officials frowned on the trip for giving the young leader a propaganda boost.
Rodman, however, suggested "basketball diplomacy" could warm relations and said that Kim wanted President Barack Obama to pick up the phone and call him. He has called Kim an "awesome guy."
Rodman's trip comes as the rival Koreas pursue diplomacy meant to restart several cooperative projects that were scrapped as tensions rose in recent years, including the jointly run factory complex in the North Korean border city of Kaesong.
Pyongyang accuses Bae of trying to establish an anti-Pyongyang base in the North. Friends say Bae was based in a Chinese border city and travelled frequently to North Korea both as a tour operator and to feed orphans.
At least five other Americans have been detained in North Korea since 2009. The others were eventually allowed to leave without serving out their terms, some after clemency missions by prominent Americans, including former presidents Bill Clinton and Jimmy Carter.