Many of the protesters carried signs demanding human rights and criticizing laws that place them in detention and forbid them to work.
Most of the Africans came from Eritrea and Sudan seeking asylum from poverty, violence and political chaos.
But Israeli authorities consider the migrants infiltrators and illegals. Officials have built a fence along the Egyptian border to try to keep them out.
Parliament passed a new law last month putting Africans without proper documents in indefinite detention and banning them from jobs.
The United Nations refugee agency and many Israelis criticize the new law as a violation.