The march started at Pastor Brooks' church, New Beginnings.
The pair is calling for residents to support violence prevention and call for common-sense gun laws.
There were 55 shootings in Chicago since Wednesday night.
Governor Quinn and pastor brooks are both pushing for others to support the changes Quinn made to a bill that would allow the carrying of concealed handguns.
"So today we're joining efforts with the governor to let him know we're in full support, and we're asking all of those who stand with him to support this veto," Brooks said.
On Tuesday Illinois lawmakers will vote on the governor's amendatory veto to the conceal carry gun law.