The EDL demonstrators pushed their way through a police cordon as they made their way to Trafalgar Square.
They chanted "Muslim killers off our streets" and "There's only one Lee Rigby" in tribute to the soldier killed in Woolwich, south-east London last Wednesday.
The protesters held placards that read "Blood on your hands" and "GB RIP".They are expected to demonstrate outside Downing Street later.
The demonstrators marched through Admiralty Arch and onto Parliament Square.
They were escorted by Metropolitan Police officers and vans, while a force helicopter followed overhead.
A Scotland Yard spokesman said Whitehall was closed to traffic because of "a number of demonstrations".
More top news
City Hall has warned that Londoners should avoid coming to the centre of the capital on New Year's Eve unless you have a ticket.
Members of the Queen's Guard have been assigned the protection of armed police, amid reports they could be targeted by terrorists.
When Robin Ollington wrote to Buckingham Palace suggesting they introduce a Christmas tree, he didn't expect them to write back...