He flew into Egypt at the start of the trip which will also take him to Ghana, South Africa and four other countries.
Deals for oil, copper, timber and other resources are expected to be discussed. Chinese manufacturers are also seeking new markets, correspondents say.
Trade between China and Africa rose to $40bn (£22bn) last year.That total has quadrupled in the last five years.
Mr Wen will also visit Congo-Brazzaville, Angola, Tanzania and Uganda during his visit.His trip comes at a time of growing Chinese interest in the continent.
But critics in the United States and Europe say Beijing is blocking international efforts to put pressure on what they call oppressive regimes in Sudan and Zimbabwe because of its desire for economic deals.
It is curious he is not going to Sudan, where he has so many interests. Ehh, can it be because all Chinese interests are well protected in Sudan?
UPDATE: Go over to Causes of Interest and read UN hears of mass Darfur Killings.