More than 10,000 protesters and members of over 100 organizations, including human rights groups, gathered in Helsinki’s Senate Square and later marched towards Toolonlahti Park, said public broadcaster YLE.
They expressed their disappointment over the government's policy against racism, referring to its anti-racism briefing last week.
Demonstrators called on the government to respect Finland's constitution and the international agreements it has signed, said the report.
On Thursday, parties of the Finnish coalition government unveiled a joint statement on eradicating racism and promoting equality within Finnish society.
It came after a series of racism scandals involving ministers that engulfed the new government and led to the appointment of a working group tasked with proposing concrete measures to tackle racism and discrimination.
In June, the four-party government, including the anti-immigration Finns Party, formed Finland's new government, which holds 108 seats out of 200 in parliament.