Mr Thein is scheduled to attend the UN General Assembly in New York and is likely to focus on trade opportunities.
It follows a tour by opposition leader Aung San Suu Kyi who made her first trip to the US in 40 years last week.
Western sanctions against Burma have been loosened since the government's series of reforms starting in 2010.
The US lifted sanctions against Mr Thein and other Burmese officials only  last week. He is scheduled to meet US Secretary of State Hillary Clinton and other senior officials from the US and the UN.
"The trip will open a new chapter with the international community," Zaw Htay, an official from Burma's presidential office, was quoted by Agence France-Presse news agency as saying.
"He is expected to explain the reform process of the country including what the government has done and what it is going to do," he added.
Burma has been enacting a series of social and political reforms after decades of military rule. These include freeing hundreds of prisoners, including political detainees,  and introducing more press freedom.
The EU, Australia and other countries have already eased sanctions against the country. The US said in July that American companies will now be allowed to "responsibly do business in Burma".
Ms Suu Kyi, a longtime supporter of foreign sanctions, also called for the US to further ease sanctions against Burma during her trip.
The opposition leader, who was freed from house arrest in 2010 and is now a member of parliament, received numerous awards in the US. One of these was the Congressional Gold Medal, the highest civilian honour in the US.
Burma's President Thein Sein has embarked on a landmark visit to the US, the first visit by a Burmese leader in 46 years.