It was arranged in response to a threatened protest by the Scottish Defence League - a right-wing group claiming to oppose Islamic militancy.
There were minor skirmishes as anti-fascist protesters tried to enter a bar on the Royal Mile where they believed members of the SDL had gathered.
Police confirmed that five arrests were made for public order offences.
About 90 people were kept inside Jenny Ha's pub, opposite the Scottish Parliament, by police who blocked the doors and sealed off the area to stop the rival groups clashing.
They were later taken from the building and put onto buses which then left the city.
More than 700 officers were deployed to police the event. Assistant Chief Constable Iain Livingstone, of Lothian and Borders Police, said he was pleased no major problems occurred and he thanked members of the public for their co-operation.
It is understood extra officers from Northumbria Police in England had been drafted in to help.
Student protester James Nesbitt, 23, from Glasgow, said: "We had spotters out across the city looking for fascists in pubs. We got here quickly but the police are doing everything they can to keep us away from them.
"We're here because people are frightened with the developments in the far-right."
Politicians, trade unionists and faith representatives taking part in the Scotland United rally gathered at the Ross Bandstand in Princes Street Gardens ahead of a march through the city centre to the Meadows.
Organisers said about 2,000 people took part in the demonstration.
'Further humiliation'
Lawyer Aamer Anwar said that the march would serve as a warning to the SDL to "stay away".
Another of the organisers, Osama Saeed of the Scottish-Islamic Foundation, said: "Today is a further humiliation for the SDL. They only got ten minutes in the rain last November in Glasgow. They didn't even get that today.
"This is only due to good people coming out in numbers to take over Edinburgh's streets. The threat from the far-right cannot be ignored and simply wished away."
Speaking before the demonstration Supt Lesley Clark, of Lothian and Borders Police, said: "We will facilitate peaceful protest and we are confident we have contingency plans in place to respond promptly to any emerging issues.
"We been advising businesses in the city centre and engaging with the many diverse communities who live and work in Edinburgh.
"We have been reassuring people that while we have no reason to believe there will be any cause for concern, we will take appropriate action to deal with any anti-social behaviour and criminal activity." Justice secretary and MSP for Edinburgh East and Musselburgh, Kenny MacAskill, said: "This capital has a proud record of being open to all, and racism has no place here or in modern society.
"The vast majority of people in Scotland embrace equality, diversity and the idea of a one Scotland, many cultures.
"Today is about making a stand against those who would seek to divide and saying to them that their views are not welcome, as well as showing to the world that Scotland will not tolerate such views." Scottish Labour leader Iain Gray, who also attended the march, said: "The message from today's rally was up-beat and clear - Scotland will never stand by and allow hatred and bigotry to have its day.
"Scotland is an open, tolerant country. There is no place for - and Scotland will give no platform to - those who would divide our communities and attack our citizens.
"It is right that politicians of all parties work together to stop the rise of extremists."
The English Defence League has held several demonstrations, including events in London, Manchester and Leeds.
The group describes accusations of racism or fascism as "flat-out untrue".
The SDL was formed in protest against Muslim "extremists" and "jihadists", the group has said.
BBC News
