The Swaziland Solidarity Network said the rally in Mbabane included students, nurses and students, Radio France Internationale reported Saturday.
The impoverished nation as been ruled by King Mswati III for a quarter of a century.
The king is reportedly worth $100 million, although average wages are less than $1 per day.
Announced layoffs for government workers prompted the protest march, which ended at the prime minister's office.
Protesters demanded a new cabinet, as well as a new prime minister.
The peaceful march may have surprised some. During the week meetings among union members organizing the event were broken up by police. The ANC Youth League, based in South Africa, said there would be consequences if police broke up the rally.