The demonstration capped a week of unrest in Nimr's hometown of Awamiya and uncertainty in the surrounding Shiite- dominated region of Qatif, after Nimr's execution last Saturday.
"Death to the Saud family," protesters shouted, raising their arms in the air, according to the witness.
"Fall, fall, Al-Saud", the added.
Pictures of the protest showed what appeared to be hundreds of people, many of them clad in black.
They held black flags and pictures of the executed sheikh, who was a driving force behind protests that began in 2011 among the kingdom's minority Shiite community.
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Nimr and three other Shiites were among 47 people convicted of "terrorism" and executed, provoking anger among Shiites and concern in Western nations.
Shiites protested in several Muslim countries and attacked Saudi diplomatic missions in the kingdom's regional rival, Iran.
Saudi Arabia and some of its allies cut diplomatic ties with Iran in reaction, triggering a diplomatic crisis and raising sectarian tensions in the region.
Eastern residents said there had been protests this week in Awamiya, a Gulf coast town of about 30,000 which has been the scene of repeated incidents since 2011.