Tuesday's protest in Seoul took place as US and South Korean officials met to agree on a deal that will cut tariffs and other trade barriers.
The US is pressing for increased access to the South Korean agriculture, automobile and pharmaceutical markets.
The plan has been criticised by trade unions and farmers' groups, who are against any reduction in protection for agricultural goods, particularly rice.
The US and South Korea say the agreement will increase trade and contribute to growth in both countries.
Tuesday's talks included discussion of a business park which South Korea is building in North Korea.
The park will provide cheap North Korean labour to companies from the south, but the US is concerned that the North will use the profits generated by the park for its missile programme.
Protesters carrying banners chanted "No FTA" during a rally outside a railway station before marching towards the city centre.
Kim Yoo-Min, a 45-year-old construction worker, said: "The FTA will hurt our economy and livelihoods."
He promised "all-out protests if the government bows to demands from Washington".
Thousands of riot police set up a barricade near the US embassy as the protest passed.
More rallies and a strike are planned for this week, and the government has threatened "stern measures" if the protests turn violent.