The event was largely organised through Facebook by several non-profit organisations including Our International Finland, led by Indian-born TV personality Tino Singh.
The march began at Railway Station Square at 3pm, making its way past the House of Parliament to Finlandia Park before ending around 7pm.
Similar events were held elsewhere in Finland, including at least Pieksämäki and Närpes.
All of Finland's political parties announced that they supported or would take part in the marches -- besides the Christian Democrats and the True Finns.
More than 4,000 people signed up on Facebook to attend or support the events.
One of the marchers, Margarita Sakilayan-Latvala, told YLE that she took part because "it is our role and our duty to be able to tell everyone that this has got to stop. Hate crimes have got to stop and intolerance has got to stop."