The demonstration was one of several in US cities following the death of two African-American men shot dead by white police officers, their dying moments captured in shocking video footage that went viral online.
One of those killed was Alton Sterling, shot dead by a police officer in Baton Rouge, in the southern state of Louisiana.
Black Lives Matter activist DeRay McKesson traveled to Baton Rouge for the protest yesterday, and was walking on the side of a road livestreaming the demonstration on Periscope.
"No justice, no peace, no racist police!" activists chant, as police cruisers follow the group.
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Then suddenly the video is interrupted. "City Police. You're under arrest - don't fight me," a voice says.
Another activist grabs the phone and continues the video, asking police why McKesson was detained.
Pictures on social media show McKesson with his hands behind his back being taken away by police.
A Louisiana state police officer told a reporter with The Advocate, a Baton Rouge publication, that McKesson was arrested because he had been blocking the road - even though in his video McKesson said there was no sidewalk on the road.
Two activists who were witnesses told The Washington Post that it was a physically violent arrest.
"He was clearly targeted," said activist Brittany Packnett told the Post.
Local media said some 30 people where arrested in the Baton Rouge protests.
Hundreds of people marched late Saturday in several US cities protesting police abuses.
In St. Paul, Minnesota, several hundred protesters blocked a highway intersection for about three hours and hurled rocks and bottles at police, who were equipped with helmets, clubs and gas masks.