The workers, joined by Opposition Labour party leader Jeremy Corbyn, were chanting slogans and carrying banners of "Save Our Steel".
The march was organised by three of Britain's major workers' unions - Community, Unite and GMB - and ended outside the Houses of Parliament this evening.
"We have to secure enough time to make sure the industry has a future. The industry is strong and the workers are incredibly skilled. It cannot be allowed to go to the wall," Corbyn told the workers.
The protest coincided with a Tata Group board meeting in Mumbai which will decide the future of nearly 11,000 Tata Steel jobs in the UK.
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"Market economy access for China is the last thing British steelworkers need. The government must reverse course," trade union TUC general secretary Frances O'Grady said.
Alongside finding a responsible buyer for Tata Steel UK, the workers want the UK government to take tougher action against cheap Chinese steel and to help the industry cope with high energy costs and business rates.