The march to the embassy followed the weekly Friday rally in Tahrir Square, The New York Times reported.
Most in the crowd denied bin Laden's responsibility for the Sept. 11, 2001, attacks, and some blamed them on the U.S. government, Israel and "the Jews."
"Let us talk about American injustice, the killing of women and children, the killing of Muslims all over the world at the hands of America," said speaker Mamdouh Ismail, an Islamic candidate for Parliament.
Such demonstrations were banned under the old Hosni Mubarak regime, and the marchers were surrounded by an overwhelming military presence.
The protest followed a sermon by a cleric, and marchers carried signs hailing bin Laden as a martyr and chanted "Obama, Obama, the terrorist is not Osama."
Many said bin Laden's burial at sea violated religious law and typified American hostility to Islam.
Protests also took place in London; Abbottabad, Pakistan, where bin Laden was killed; and Solo, Indonesia.