The latest march in the San Diego suburb came one day after police released two videos of the shooting death on Tuesday of Ugandan-born Alfred Olango, 38, at a strip mall.
Activists had called for the release of the footage.
The shooting follows a number of killings of black men and women in encounters with police that have sparked protests across the United States and calls for greater accountability of law enforcement in the use of deadly force.
Police on Saturday kept their distance from marchers, who walked down the middle of streets behind a banner that read, "#NotOneMore" and a photo of Olango with angel wings.
Two El Cajon police officers encountered Olango after receiving calls about a "mentally unstable" man walking in traffic. Olango's mother later told reporters she believes her son was having a mental breakdown because of the recent death of a friend.
Police have said Olango ignored commands to take his hand out of his pocket before pulling out an object later determined to be a vaping device used to inhale nicotine. Olango assumed a "shooting stance" and pointed the device, police said. No gun was found at the scene.
The two videos released on Friday, one from a camera mounted at a drive-thru window and another one from the cell phone of a bystander, show two officers confronting Olango in a parking lot before opening fire.
Police have said one officer fired his gun and the other one used a Taser.
The protests in El Cajon over the last five days have mostly been peaceful. But on Thursday, officers used pepper spray to disperse the crowd and arrested two men for unlawful assembly after some protesters threw rocks and bottles, stopped vehicles and broke car windows.
On Saturday, police did not appear to make any arrests in the protest and demonstrators marched without incident. A police spokesman did not immediately return a call seeking comment.
The two officers who fired the gun and the Taser at Olango have been placed on leave as the El Cajon Police Department and the San Diego County District Attorney's Office investigate the shooting.
Activists have demanded a federal probe.