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
More than 200 people are expected at London's first Muslim Youth Festival which will look at stopping the radicalisation of young Britons.
A report by a London university has found that chief police officers use "predatory" behaviour towards junior staff.
A man from north London has been jailed for 27 years for owning guns and conspiring to supply drugs. Two others were also jailed.