The US president and the first lady were given a red carpet reception at Blenheim Palace, Oxfordshire.
On Thursday, the protesters gathered by a large metal fence sealing off the US ambassador's residence in Regent's Park, where the president will spend his only night in London.
The first part of the president's working visit will be a black-tie reception at Blenheim Palace, a stately home to the northeast of London where legendary Prime Minister Winston Churchill was born.
The president's comments come as the prime minister prepares to release her controversial Brexit white paper which will confirm that Britain intends to remain in a single market for goods with the EU.
Criticising May for the warm welcome given to the American leader, he said: "Theresa May has invited President Trump to our country at a time when his risky and inhumane policies are putting the lives and wellbeing of millions of people at risk".
"I think it's a travesty of British values. But when they make you feel unwelcome, why would I stay there?"
In a near replay of their famous hand-holding at the White House, the president briefly took Mrs May's hand after arriving as they went up the stairs into the palace following a performance from a military band. A three-course meal will be served to guests, who include a number of prominent British business leaders.
They were entertained by The Countess of Wessex's Orchestra, playing British and American hits of the 20th Century during dinner. May will host Trump and tuxedo-clad government ministers and representatives of fund managers BlackRock and Blackstone Group, as well as Arup and drinks manufacturer Diageo, for a dinner of Scottish salmon, beef and strawberries and clotted cream ice cream to discuss post-Brexit trade.
Trump's comments mirror criticism from the likes of former UKIP leader Nigel Farage who has warned that European rules prevent the United Kingdom from running its own trade policy.
May said there is "no stronger alliance" than the special relationship between the two countries and "there will be no alliance more important in the years ahead".
"Now, for the benefit of all our people, let us work together to build a more prosperous future".
On Friday, he will hold talks with May expected to focus on Brexit and Russian Federation, at the prime minister's Chequers country residence followed by a press conference.
While expansive efforts to shield the president from public dissent have been underway, with workers erecting a "ring of steel" and concrete barriers around the ambassador's residence, organizers have asked protesters to bring pots, pans, drums, and plastic horns to hold an "all night noise protest". "While it is reasonable for the police to put in place measures for safety, it would be unprecedented for such a major demonstration to be denied permission for a stage".
On Friday, Trump will meet with Prime Minister Theresa May and Queen Elizabeth II and then spend the weekend at one of his private golf courses in Scotland.
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