Dozens of supporters of the Eelam People's Democratic Party (EPDP) left a wooden coffin containing the remains of Thambithurai Sivakumar at the embassy's gate on Monday, demanding action from the Norwegian negotiators of a two-year truce.
The protestors also burned effigies of the leader of the island's main rebel group, the Tamil Tigers.
Sivakumar - a vocal opponent of the Tigers - was shot and killed while out cycling with his daughter at the weekend.
He is the latest victim of sporadic violence plaguing a ceasefire that halted the country's two-decade civil war over Tamil independence or autonomy.
Stalled peace process
Party spokesman Nelson Edirisinghe said rebels managed to target Sivakumar because of failings in Norway's handling of the stalled peace process it is marshalling.
The Tamil Tigers have made no comment as yet on the killing.
"It is after the peace agreement that the Tamil Tigers could infiltrate government controlled areas and kill people like this," Edirisinghe said, referring to the 2002 ceasefire as party followers chanted and shouted outside the embassy.
Sri Lankan soldiers keep a visible
presence in the capital, Colombo
"We are protesting here to open the eye of the architects of the peace process to what is happening," he added.
Protesters set effigies of reclusive Tamil Tiger leader V Prabhakaran on fire, shouting "Prabhakaran, murderer!"
"Norway, your eyes are still blind?" read one banner.
The killing of Sivakumar comes just weeks after EPDP leader and government minister Douglas Devananda narrowly escaped death in a botched assassination attempt.
The Liberation Tigers of Tamil Eelam - or Tamil Tigers - agreed a truce with the government two years ago.
"Norway, your eyes are still blind?"
About 64,000 people have died in Sri Lanka's 20 year civil war and swathes of the north and east have been bombed to smithereens.
Efforts to secure definitive peace have been stuck in an impasse for months, with little sign of an imminent breakthrough.