The largely peaceful demonstrations came as details emerged of another racially tinged death.
America's largest city of 8.4 million again saw bursts of outrage after a grand jury on Wednesday decided not to indict a white officer for the death by chokehold of an unarmed black father-of-six.
Demonstrators blocked roads, tunnels and bridges, with many of them shouting "I can't breathe" -- the words that heavy-set asthma sufferer Eric Garner, 43, gasped repeatedly as police wrestled and held him to the ground during his arrest in July for selling un-taxed cigarettes.
Dozens of people were arrested in Thursday's rallies, the New York Times reported, quoting police.
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Demonstrations were also held in Chicago, Boston, Philadelphia, Baltimore and Washington DC, where they snarled traffic near the White House as President Barack Obama lit the national Christmas tree.
As helicopters hovered above, thousands of activists massed in New York's Foley Square, near the city police headquarters shouting "Shut it down" and carrying placards saying "Black Lives Matter" and "Racism Kills."
"We cannot tolerate police impunity. The government has to do something. They have a video showing what happened," said a 40-year-old demonstrator who gave his name only as Jonathan.
Another group marched across the Brooklyn Bridge, with a black banner that said "this stops today" and 10 black coffins inscribed with names of people killed by police in different city boroughs.
Hundreds then continued the march through Brooklyn, followed by police but an AFP reporter saw no incidents of unrest.
National controversy over Garner's death and a series of other incidents were fanned further Thursday by a damning US federal investigation which concluded that police in Cleveland routinely employ "excessive force."