Opposition supporters marched to the country's highest court, demanding that Zuma should quit over the scandal involving millions of dollars in state spending on his private residence.
The Constitutional Court in March ruled that Zuma violated the constitution.
Zuma has said he would pay back some funds, but the opposition wants him to step down.
"If you trample on the constitution you trample on Nelson Mandela, if you trample on Nelson Mandela you trample on the people of South Africa. We are here to reclaim our freedom," said Musi Maimane, leader of the Democratic Alliance, South Africa's biggest opposition party.
Maimane spoke to loud cheers from thousands of supporters while facing a banner that read: "#South Africa comes first." Zuma is supported by powerful factions of the ruling African National Congress party. Parliament recently defeated an opposition motion to remove him from office.