About half of the 3,000 students who turned out to rally against the attacks were from Africa, Asia and Latin America. The rest were Russians from universities in St Petersburg.
On Friday, a Senegalese student was shot dead as he came out of a night club in the city by an unidentified attacker using a gun emblazoned with a Nazi swastika. Police suspect that the killing was racially motivated.
Men, women and children from Africa and Asia have been killed, stabbed and beaten over recent years in St Petersburg in what police say are attacks by extreme racist groups, which pride themselves on their Nazi paraphernalia.
The protesters marched holding photographs of those killed and chanted "St Petersburg - the capital of fascism" and "Putin help - they are killing us."
Nanga George, a physical education teacher from Cameroon, said at the rally: "We are not happy, there are fascists among us.
"I am convinced that in Russia if they want to stop something they stop it, so it means they [the authorities] don't want to stop it."
President Putin has called on police to stamp out racist violence. But immigrant groups and foreign students say attacks are becoming more frequent, especially on those whose skin colour marks them out as foreign.
Friends of the murdered student
wept at the rally
The Soviet Union became a popular destination for students from Africa and Asia during the Cold War, offering a relatively inexpensive but good education.
But the chaos that followed the fall of the Soviet Union bred uncertainty about Russia's place in the world and anger at the perceived threat from immigration. Racist groups have grown.
Kremlin critics say attempts to harness nationalist feelings have encouraged such groups.