The $165m (£88m) Clinton Presidential Center houses archives from his White House years - with one area dedicated to the fall-out of the Lewinsky affair.
Mr Clinton chose to site his library in Little Rock, Arkansas, where he served as governor before becoming president.
He will be joined at the opening by the current president, and ex-presidents George Bush and Jimmy Carter.
Some 40,000 people are expected at the invite-only event, at which U2 rockers Bono and The Edge are said to be performing.
The building is a box-like structure extending over the Arkansas River, built in a rundown warehouse district of Little Rock.
"I wanted to build a building that would capture the imagination of people today and in the decades to come," said Mr Clinton at a meeting of Little Rock's business community on Tuesday.
The British Economist magazine described it as "trailer-home chic".
Reuters news agency noted it is the most expensive of the 12 presidential libraries.
New development
Mr Clinton said he had turned down large sums of money from two other states to locate it in Arkansas.
"I felt I owed it to my native state that allowed me to become president, and I wanted to make a contribution to the development of this city I love so much," he said.
Almost $1bn-worth of new development has taken place in downtown Little Rock since Mr Clinton chose to build his library there in 1997.
Designed by New York architect James Polshek, the library includes replicas of the Oval Office and Cabinet Room.
It will house Mr Clinton's presidential archive of 80 million documents, 21 million e-mails and two million photographs, Reuters reports.
He hoped the library would teach Americans "what it's like to be president".
"It was maddening to be president and see people make judgements that were completely disconnected from what we were doing every day," he said.
"So when people come, I hope they will see, whether they agreed or disagreed with what I did, that people in public life... embrace certain policies and those policies have consequences in the lives of people."
The complex also includes a luxury apartment for Mr Clinton as well as a school of public service linked to the University of Arkansas.