The convoy, of at least 50 vehicles, is said to be headed for the capital, Niamey. It is believed to include Tuareg fighters recruited by fugitive Libyan leader Col Muammar Gaddafi.
Niger's foreign minister said Col Gaddafi is not in the convoy. His spokesman insists he is still in Libya.
The new Libyan authorities say the convoy is carrying gold and cash.
Col Gaddafi has vowed to fight to the death, even though he has lost control of most of the country.Tuareg ties
Officials from Libya's National Transitional Council (NTC) said the convoy had set out from the Gaddafi-held town of Jufra on Monday.It arrived later that day in Agadez - 950km (600 miles) from Niamey