More than 100 people took part in the protest in the town of Tuen Mun in the New Territories, not far from one of the border crossings to the mainland.
Local residents are becoming increasingly angry at the growing number of mainland Chinese traders, who they say have disrupted their daily lives and clogged public transport.
The so-called parallel traders typically travel to Hong Kong by train and stock up on everything from iPads to milk powder, taking advantage of lower prices, wider choice and better quality in the city and dodging hefty tariffs on their return.
Pepper spray was used against protesters inside one mall. Broadcaster RTHK said about 10 people had been arrested following rowdy demonstrations in which protesters shouted at police and mainland visitors, forcing some shops to close early.
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Police were unable to provide details when contacted by AFP.
"Police have used pepper spray and brought out batons inside a shopping mall, there are injured people that are being surrounded by police," rally organiser Hong Kong Indigenous said on their Facebook page.
It was the first time police had used pepper spray since a series of major pro-democracy rallies in the city last year which saw intermittent violent clashes with police.
But Hong Kong's leaders have expanded tourist quotas in recent years to try to prop up the city's economy.
The influx has caused tensions between Hong Kongers and mainland Chinese to soar.
Reports said an estimated 10,000-12,000 mainland traders travelled to Tuen Mun within three hours after shopping malls there offered free bus rides.
The city in 2013 barred people from crossing into mainland China with large quantities of baby formula.