The 500km route was lined with officers at Pope Francis' request, while the corpse's display case was given a full police escort to Rome, La Repubblica reported.
The saint's body has been on display at the specially built Padre Pio Pilgrimage Church in San Giovanni Rotondo since 2008, but his remains are being temporarily moved to Rome as part of the Holy Year, or Jubilee of Mercy, celebrations.
The remains will stay in Rome until February 11th and will be guarded by between 800 and 1,000 police officers.
Metal detectors will also be installed to screen pilgrims wishing to view the saint, while the see-through coffin has been reinforced with bullet-proof glass ahead of being paraded through the streets of the capital towards the Vatican on Friday.
Pio's arrival comes as the Catholic Church prepares to celebrate the 40-day period of Lent and the Vatican is expecting large crowds. Security forces in the city, however, remain on red alert following repeated threats from the Isis terrorist group against the city.
“The Vatican is expecting up to 70,000 pilgrims but there could be many more,” a police spokesperson told La Repubblica.
The Padre Pio celebrations will see more that 1,000 priests arrive in the city from all over the world, and hotels and restaurants in the Eternal City are hoping the occasion will bring in some more pilgrims too, especially after a slow start to 2016.
But not everybody is happy with decision to move Padre Pio's remains to Rome, not least the faithful flock at San Giovanni Rotondo, where he lived and died.
“It's not right to move him,” said one parishioner. “If people want to see him why can't they just come here like they have always done?”
Pio was venerated by Pope John Paul II in 1999, after years of controversy surrounding the alleged miracles the saint performed and the quasi-mystical gifts of bio-location and levitation that were attributed to him.
He also claimed to suffer from "stigmata", a mysterious condition that causes bodily wounds on the hands and feet that correspond to the crucifixion wounds of Jesus Christ.
His alleged stigmata was disputed for years, with some observers suggesting that the priest had inflicted the wounds on himself using carbolic acid.
In 2008, the Catholic Church exhumed his body from the crypt in San Giovanni Rotondo so that it could be put on display for the thousands of pilgrims now visiting the site each year.
While in the crypt, the body had deteriorated and Padre Pio's decaying face was covered by a lifelike silicone mask.