"We are angered by the cost of food. We are here to register our disgust and frustration. We are on this march to express our anger," he said outside the headquarters of the power utility Eskom.
The one-day walkout and the march were part of a series of rolling strikes being held around the country, Africa's biggest economy. COSATU is planning a nationwide strike for August 6.
Police said that there were about 25,000 people at Wednesday's rally in Johannesburg, and many of them denounced plans by Eskom to hike tariffs by 27.5 per cent following widespread power cuts earlier this year.
Lindiwe Mabuko, a trader in vegetables in the Hillbrow neighbourhood, urged the government to intervene to lower prices.
"The government is just punishing us by allowing these price increases. We are very poor and we cannot afford them," the 38-year-old mother of three said.
Cosmos Luthuli, a student from Alexandra township, said he had taken the day off school to join in the protest.
"I am not going to school today because this protest is important to me," he told the AFP news agency. "My parents are finding it difficult to feed us. We are a family of seven and these prices are meant to kill us."
Wednesday's strike shut mines and car makers, disrupted textile factories and brought business to a standstill in Gauteng, the Eastern Cape, North West and Limpopo provinces.
A sharp rise in the price of petrol, milk and bread, and a series of interest rate hikes meant to curb inflation have the determination to change government policies.
Economic growth has averaged about five per cent in recent years but dropped sharply in the first quarter of 2008 as the impact of the power crisis hurt mines and manufacturing.