A marching band in a dream represents your connection to others. To make a marching band harmonize takes teamwork as well as a second sense for understanding others.
To march along with the band in your dream indicates that you feel conforming to others is important in your life. You may feel great joy in your camaraderie with the group. If you feel that the band is marching you along, you may be struggling with your wish to escape conformity in your life.