According to US Weekly, the pair "kept a low profile" at the rally, which was attended by more than 1,000 protesters.
They also stopped for a photo with Rev. Al Sharpton and Martin's mother, Sybrina Fulton.
"Jay Z told me, 'I'm a father. Beyonce is a mother.' We all feel the pain and apprehension -- the laws must protect everybody, or it doesn't protect anybody," Sharpton said.
"No concerts in Florida!" rallygoers shouted that the 31-year-old singer, who shared an Instagram photo of her Trayvon Martin wristband.
The 43-year-old rapper also paid tribute to the late teen at his Yankee Stadium concert with Justin Timberlake on Friday, dedicating his song "Forever Young" to Martin.
"This is for Trayvon, so light up your cell phones New York!," Jay Z said.
"One more time for Trayvon New York!" Timberlake added.