The protest march in Port-au-Prince, which witnesses said had about 30,000 people, was largely peaceful barring a brief standoff with UN peacekeepers and riot police.
It was held on the 53rd birthday of Aristide, who lives in South Africa. Protesters danced to drums, chanted "Aristide is king" and sang happy birthday to the exiled leader.
Jean Woody Pierre-Paul, a spokesman for the marchers, said: "We want Aristide back, because he is Haitian, not South African."
The demonstrators called on Rene Prevak, the newly elected president, to free all political prisoners jailed under the previous interim administration of Gerard Latortue, the prime minister.
Latortue's unelected, US-backed administration took over after Aristide fled an armed revolt in 2004. Preval in February became Haiti's first elected leader since Aristide.
The crowd, mainly from the slums where Aristide and Preval drew most of their support, also called for public employees, fired en masse by the Latortue government, to be given back their jobs.
The United States, which exerts enormous influence in Haiti, has warned Preval that Aristide's return would destabilise Haiti.
The protesters almost clashed with police and UN peacekeepers when they were barred from approaching the presidential palace.
Most scattered when Haitian security forces pulled their guns and threatened to shoot. But several thousand protesters managed to force their way through.
"I can't believe that under Preval, the population can be barred from demonstrating in front of the presidential palace," said Josias Mathurin, a protester. "We spent two years fighting the interim government to regain this right."