Rodman and the team of former US National Basketball Association (NBA) players flew from Beijing on Monday ahead of Wednesday’s match.
Rodman, who says he is friends with the young North Korean leader, said his aim was to “connect two countries”.
State Department officials have made it clear Rodman does not represent the US.
The sportsman has also been strongly criticised for ignoring North Korea’s human rights abuses.
Dennis Rodman last visited North Korea in December, shortly after the execution of Chang Song-thaek.
The fall of Kim Jong-un’s once-powerful uncle was seen as a major shake-up at the very top of Pyongyang’s elite.
On that visit, Rodman’s third, he did not meet Mr Kim, who is reported to be a basketball fan. He has met the young leader on his other two previous visits, however, and is the highest-profile American to have done so.
This time, he leads a squad of players on a trip he is describing as “basketball diplomacy”. The squad will play a North Korean team in an exhibition match.
Rodman’s unprecedented access to North Korea’s young leader has drawn questions over the impact of his visits to a country criticised for its repressive system of brutal political prison camps.
If Rodman will not talk about that, many say it is hard to know what basketball diplomacy can really achieve, the BBC’s Lucy Williamson in Seoul reports.
The basketball player’s visit comes amid ongoing international concern over stability inside North Korea following the sudden execution of Chang, who was seen as a major leadership figure.
In a New Year’s address on Monday, South Korean leader Park Geun-hye called the situation on the Korean peninsula “more grave than ever”.
The execution had “made it harder to predict” what might happen, she said.
She called for dialogue between the two nations and for a reunion meeting for families separated by the division of the Korean peninsula at the end of the Korean War in 1953.
The first such meeting in three years was scheduled but then cancelled by the North Korean side in September last year.