The marchers carried banners saying "Darfur will be the grave of the conquerors" and shouted "Down, Down USA."
African foreign ministers are due to meet on Friday to decide whether to ask the United Nations to take over control of their 7000-strong mission currently monitoring a shaky ceasefire in Darfur.
The African Union lacks both funds and equipment.
After weeks of an intense government-led media campaign against any foreign presence in Sudan, nationalist sentiment is running high.
The newly established pro-government al-Intibaha newspaper last week announced the formation of a new Islamist movement against foreign intervention in Darfur, called the Darfur Jihad Organisation.
On Monday the paper reported the formation of another group, the Blood Brigades.
"I don't think the government can solve the problem, nor can the African Union"
On Wednesday, Abd al-Rahim Muhammad Husain, the defence minister, addressed a military demonstration in central Khartoum but foreign journalists were detained and escorted from the scene.
"Jihad, victory, martyrdom," the soldiers chanted.
"Our martyrs are in heaven, and we are ready," said the minister.
Husain last week demanded all foreign reporters leave a news conference, accusing them of fabricating the Darfur conflict, which Washington calls genocide.
Khartoum denies genocide in the arid west of Sudan, but tens of thousands of people have been killed and two million herded into camps by a three-year campaign of rape, looting and killing.
The International Criminal Court is investigating alleged war crimes there.
Among the crowd of demonstrators, one brave woman quietly said she was there to support intervention in her place of origin, Darfur.
Maha Makki, a student, said: "I don't think the government can solve the problem, nor can the African Union.
"I want America to come in," she said, before being drowned out by shouts of "no, no to foreigners".
The United Nations is deploying about 10,000 soldiers to Sudan's south to monitor the implementation of a separate peace deal signed last year to end more than two decades of civil war there.
But the government and opposition parties have all said they do not want that UN force to extend to Darfur.