Britain's Daily Telegraph reported about 100 women took part in the protest, carrying a banner asking "International community, where is protection for women?"
The widely circulated amateur video of the execution, which has outraged the world community, shows the victim, accused of adultery, being shot at several times at close range by a man as she sat on the ground.
The incident is believed to have taken place last month in a village in Parwan province near Kabul, and has raised concerns about women's rights in Afghanistan as U.S. and NATO officials plan completion of their troop withdrawal from that country by 2014.
The Telegraph report said the amateur video showed the woman, believed to be 22 years old, fired on several times as a crowd of about 150 men cheered.
The women demonstrators demanded that those responsible for the killing be arrested and punished.
Afghan President Hamid Karzai has condemned the killing as un-Islamic and Afghan security officials have begun a manhunt for the killers.
Parwan province Gov. Abdul Basir Salangi had earlier been quoted by CNN as saying the woman was executed following a dispute over her between two Taliban commanders who, to save face, had accused her of adultery. Salangi told CNN the two "faked a court to decide about the fate of this woman" and executed her within an hour. A third Taliban commander subsequently killed the two men, Salangi said.