Griner, the Phoenix Mercury and Olympics basketball star, surprised a group who had gathered for the march on what would have been King's 94th birthday, attending the event with her wife, Cherelle Griner.
Griner, 32, posed for photos with fans and was pictured riding on the back of a golf cart.
She said she was happy to be home after having been detained in Russia for nearly a year, NBC affiliate KPNX of Phoenix reported.
Griner, a two-time Olympic gold medalist, arrived safely back in the U.S. last year after having been freed in a prisoner swap between Washington and Moscow.
In exchange for her release, the U.S. freed Viktor Bout, an arms dealer known as the “Merchant of Death,” who had been serving a 25-year prison sentence handed down in 2012.
Griner returned nearly 10 months after she was first detained in February at Moscow’s Sheremetyevo Airport after Russian authorities said they found vape canisters with cannabis oil in her luggage. She was later jailed on drug charges.
Griner was sentenced to nine years in prison for possessing the vape cartridges, which she said had been unintentional. She was being held at a penal colony.
"It feels so good to be home!" Griner said Dec. 16 on Instagram, days after her return to the U.S.
"The last 10 months have been a battle at every turn," she wrote. "I dug deep to keep my faith and it was the love from so many of you that helped keep me going. From the bottom of my heart, thank you to everyone for your help."