Shi'ite pilgrims pray at the Shrine of Imam Moussa al-Kadhim in Baghdad's Kadhimiya district
The suicide attack occurred in Adhamiyah, a Sunni district across the Tigris river from Kadhimiyah, an area named after Musa Kadhim, the seventh of 12 revered imams in Shiite Islam, whom the pilgrims are honouring.
An interior ministry official said 28 were killed and 81 wounded. Many of the victims were passing through Adhamiyah en route to the imam's mausoleum.
Eleven more pilgrims were killed and 63 injured by bombs in three other sections of Baghdad, police said.
Tens of thousands of Shiite worshippers streamed into the Iraqi capital earlier in the day amid heavy security for the pilgrimage, a day after six of them were killed in mortar and bomb attacks as they travelled to the mausoleum.
Hundreds of tents have been erected to feed people as they pour into the city for the event, which reaches a climax on Wednesday night and early Thursday. The mausoleum has previously been targeted by bombers.
Traffic was banned on Tuesday on several bridges spanning the Tigris River, increasing already bad congestion in the capital, where traffic control is already complicated by hundreds of security checkpoints.
Major General Qassim Atta, a Baghdad security forces spokesman, told AFP special safety measures, including road closures, were in place to protect worshippers.
"We continue to organise transport for pilgrims and air surveillance for their benefit," he said.
"The movement of motorcycles, bicycles and carts is banned throughout the city until further notice," Atta added, to reduce the risk of vehicle-borne attacks.
The Shiite majority in Iraq have been a main target of Sunni Arab armed groups since the US-led invasion of 2003 toppled now executed dictator Saddam Hussein's Sunni-dominated regime.
The shrine of Imam Musa Kadhim has not been spared. In April 2009, two female suicide bombers detonated their payloads near the shrine, killing 65 people, including 20 Iranian pilgrims, and wounding 120 others.
The threat of violence did not dent the enthusiasm of worshippers, some of whom were planning to pray for a breakthrough in the political deadlock that has blocked a new government taking office after March 7 elections.
"I will pray at the mausoleum for (Prime Minister Nuri) al-Maliki and (former premier Iyad) Allawi to find an agreement so that our situation gets better," said Umm Amir, 40, who was wearing a black abaya and had travelled from Mahmudiyah, 30 kilometres (20 miles) south of Baghdad.
"Because our lives are very difficult," she added, accompanied by her neighbour Umm Sajjad on the journey and carrying a plastic bag filled with water bottles and a single orange for sustenance.
Hamid Taleb, 47, an unemployed man travelling with friends and relatives from Babil, a majority Shiite province south of Baghdad, said nothing would stop him from making the annual journey.
"Even in the time of Saddam, I came across the fields despite it being forbidden to travel to attend," he said.
"I would make the pilgrimage whatever the situation is."