"Military dictator, fail, fail; Democracy, win, win," protesters chanted, calling for the military to free Nobel Peace laureate Suu Kyi and other leaders of her National League for Democracy (NLD) who have been detained since the coup on Monday.
"Against military dictatorship" read the banner at the front of the march. Many protesters dressed in the NLD's red colour and some carried red flags.
Myanmar's junta has tried to silence dissent by temporarily blocking Facebook and extended the social media crackdown to Twitter and Instagram on Saturday in the face of the growing protest movement.
Authorities ordered internet providers to deny access to Twitter and Instagram "until further notice", said Norwegian mobile phone company Telenor Asa .
Demand for VPNs has soared in Myanmar, allowing some people to evade the ban, but users reported more general disruption to mobile data services, which most people in the country of 53 million rely on for news and communications.
"We lost freedom, justice and urgently need democracy," wrote one Twitter user. "Please hear the voice of Myanmar."
Army chief Min Aung Hlaing seized power alleging fraud in a Nov. 8 election that the NLD won in a landslide. The electoral commission dismissed the army's accusations.
The junta announced a one-year state of emergency and has promised to hand over power after new elections, without giving a timeframe.
The takeover drew international condemnation with a United Nations Security Council call for the release of all detainees and targeted sanctions under consideration by Washington.
Suu Kyi, 75, has not been seen in public since the coup. She spent some 15 years under house arrest during a struggle against previous juntas before the troubled democratic transition began in 2011.
The lawyer for Suu Kyi and ousted President Win Myint said they were being held in their homes and that he was unable to meet them because they were still being questioned. Suu Kyi faces charges of importing six walkie-talkies illegally while Win Myint is accused of flouting coronavirus restrictions.
"Of course, we want unconditional release as they have not broken the law," said Khin Maung Zaw, the veteran lawyer who is representing both of them.
Sean Turnell, an Australian economic adviser to Suu Kyi, said in message to Reuters on Saturday he was being detained.
"I guess you will soon hear of it, but I am being detained," he said. "Being charged with something, but not sure what. I am fine and strong, and not guilty of anything," he said, with a smile emoji.
It was not subsequently possible to contact him.
Saturday's protest is the first sign of street unrest in a country with a history of bloody crackdowns on protesters. There were also anti-coup protests in Melbourne, Australia, and the Taiwanese capital Taipei on Saturday.
A civil disobedience movement has been building in Myanmar all week, with doctors and teachers among those refusing to work, and every night people bang pots and pans in a show of anger.
In addition to about 150 arrests in the wake of the coup reported by human rights groups, local media said around 30 people have been detained over the noise protests.
The United States is considering targeted sanctions on individuals and on entities controlled by Myanmar's military.
Secretary of State Antony Blinken pressed top Chinese diplomat Yang Jiechi in a phone call on Friday to condemn the coup, the State Department said.
China, which has close links to Myanmar's military, joined the consensus on the Security Council statement but has not condemned the army takeover and has said countries should act in the interests of the stability of its neighbour Myanmar.
U.N. Myanmar envoy Christine Schraner Burgener strongly condemned the coup in a call with Myanmar's deputy military chief Soe Win, and called for the immediate release of all those detained, a U.N. spokesman said.
The generals have few overseas interests that would be vulnerable to international sanctions, but the military's extensive business investments could suffer if foreign partners leave - as Japanese drinks company Kirin Holdings said it would on Friday.
Telenor, another company attracted to invest by Myanmar's decade of opening, said it was legally obliged to follow the order to block some social media, but "highlighted the directive's contradiction with international human rights law."
U.S. based pressure group Human Rights Watch called for the lifting of the internet restrictions, the release of detainees and an end to threats against journalists.
"A news and information blackout by the coup leaders can't hide their politically motivated arrests and other abuses," said Asia director Brad Adams.