Arroyo, who came to power in 2001 following the ouster of Joseph Estrada, was expected to use the speech to outline her accomplishments during her tumultuous tenure, which has been marked by scandal and failed coup attempts.
Activists waving red flags and anti-Arroyo banners began their march before dawn to the congress building, as riot police erected barbed wire barricades and blocked access roads with trucks and shipping containers.
Thousands of riot police, armed with shields and truncheons, were ferried into the capital Manila by trucks and bomb-sniffing dogs checked the building for explosives ahead of Arroyo's speech, due to begin at 0700 GMT.
Police have said they expect about 25,000 protesters to convene at the Congress. Schools in the capital were shut down.
Critics charge Arroyo, whose term expires next year, is seeking to amend the constitution so that she can remain in power. They have also accused her of cheating to win the 2004 presidential election.
The Philippines leader, plagued by a series of corruption allegations against her and his political allies, has survived several impeachment attempts.
She has surrounded herself with dozens of retired police and military generals who occupy senior government posts.
In her first state of the nation address, Arroyo outlined her vision for the Philippines based on employment, education, housing and food security for all Filipinos.
In subsequent addresses, she promised to win the fight against poverty, eradicate corruption and predicted the Philippines will join the ranks of the world's rich countries within 20 years.
But her government has produced very little to back up those promises, with poverty on the rise in the country of 92 million people and the economy propped up by billions of dollars sent home by Filipino workers overseas.
Opposition senator Manuel Villar, who has been leading opinion polls as the possible winner of the 2010 presidential polls, said in the BusinessMirror newspaper that the country remained mired in poverty and corruption.
"Pervasive poverty robs a whole country's potential ... this, I believe is the true state of the nation today," he wrote in his column published Monday.
Manila's Roman Catholic archbishop, Gaudencio Rosales, said "if (Arroyo) is really a Christian (she should) admit her mistakes and shortcomings."
Arroyo has seen her approval ratings fall to record lows due to the allegations of election fraud and corruption.
She still enjoys the support of a majority of Congress, but many opposition lawmakers say they will boycott or walk out of her speech.
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