Workers from the Unite union have been picketing sites at Cowley and Swindon in southern England and Hams Hall in the West Midlands since Wednesday morning.
The union said the walkout involves 2,000 staff and production lines for the Mini vehicle and car engines have been disrupted.
More industrial action is likely over the next five weeks.
The company plans to link the value of a worker's pension to the pension fund's performance on the stock market instead of final salary.
The changes would affect about 5,000 BMW employees in Britain, the union said, adding that some workers stand to lose up to £160,000 in their retirement income.
Unite assistant general secretary for manufacturing Tony Burke said: "Today's solidly-supported strike should serve as a wake-up call to BMW's bosses and underlines the determination of Unite members to defend their hard earned pensions.
"BMW bosses need to get their heads out of the sand and recognise this is no way to treat a workforce, which has helped deliver record profits and record sales of the Mini and Rolls-Royce motorcars."
A BMW spokesman said: "We regret the decision by Unite to stage industrial action and are hopeful that the union's representatives will return to the negotiating table.
"Like many businesses, we know that the costs and risks associated with defined benefit pension schemes makes them unsustainable and unaffordable in the long term.
"The reason we are proposing changes now is so we can protect existing and future pensions for all our staff and ensure the long-term competitiveness of our UK manufacturing operations."