The president, meanwhile, danced at a party where well- wishers said they loved him.
The rally in the capital, Pretoria, which followed nationwide protests on Friday, comes amid sharp criticism of Zuma within the ruling African National Congress party, although the president still commands the support of powerful ANC factions.
Zuma, who is in his second five-year term after becoming president in 2009, has become a flashpoint for concerns about government corruption and mismanagement in one of Africa's most powerful economies.
Crowds gathered at a central square and marched peacefully to the Union Buildings, which house Zuma's offices. Police estimated the crowd size in Pretoria at 30,000. Protest organisers said the number was higher.
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The protest united groups with sharply different ideologies. The Democratic Alliance, the main opposition party, includes many members of the white minority that still controls much of the economy 23 years after the end of apartheid.
The smaller Economic Freedom Fighters party, led by former ruling party member Julius Malema, says it seeks the rapid transfer of land and industry to South Africa's poor black majority.
Later today, Zuma attended a birthday party for him in the Soweto area of Johannesburg, sitting in a high-backed armchair on a stage before dancing. Supporters praised him, saying he would overcome political challenges and serve out his term until 2019.
Zuma last month fired Finance Minister Pravin Gordhan, who coincidentally turned 68 today, in a Cabinet reshuffle. Some top ruling party leaders openly criticized the decision.
Two agencies, Fitch and Standard & Poor's, responded by lowering South Africa's credit rating to below investment grade, raising concerns about a weakening currency and price increases in a country with high unemployment.
Zuma spent 10 years in the same Robben Island prison where Nelson Mandela was held, but his anti-apartheid record has been overshadowed by scandals, including the spending of millions of dollars in state funds on his private home. He paid back some money after the Constitutional Court ruled against him last year.