An aide to Netanyahu said the prime minister would hold longer talks with the couple next week.
Shalit's parents have set up camp outside Netanyahu's residence, and have vowed to stay there until their abducted son is freed.
Shalit was seized by Palestinian fighters in a cross-border raid in June 2006 and has been held in Gaza since.
Hamas, which has ruled the Gaza Strip since 2007, wants hundreds of Palestinian prisoners freed in exchange for Shalit.
Swap talks broke down in December and have not resumed, with Israel and Hamas failing to agree on the terms of a deal. The idea of a prisoner swap is controversial: Some Israelis do not support the release of Palestinian prisoners, deeming it a security risk.
Sherine Tadros, Al Jazeera's correspondent in Jerusalem, said on Thursday that the message of the marchers was very clear: that Netanyahu's government needs to do more to secure his release.
"Last week Netanyahu said that Israel had gone as far as it is willing to go on a prisoner exchange deal and that the ball is in Hamas's court," Tadros said. "Hamas say there are thousands of Palestinian prisoners still inside Israeli jails and they will not compromise on a list of 450 names [of prisoners they want freed].
Netanyahu has said he will not make a deal "at any price," warning that certain prisoners could return to carry out attacks on Israelis if released.