Did Barack Obama march with Nation of Islam leader Louis Farrakhan in his so-called Million Man March? According to A&E’s Biography.com, yes.

In 1995, along with other prominent black leaders such as Al Sharpton and Barack Obama, Farrakhan helped lead the Million Man March on Washington. A second march, called the Millions More Movement, took place in 2005.

Emphasis mine. An Ace of Spades commenter finds this from the Chicago Reader back in 1995:

Obama took time off from attending campaign coffees to attend October’s Million Man March in Washington, D.C. His experiences there only reinforced his reasons for jumping into politics.

I’ll see what else I can find.