Opposition leaders including former world heavyweight boxing champion Vitali Klitschko have joined the protest on Independence Square.
Activists are planning to make the rally permanent, and are comparing it with the 2004 Orange Revolution.
Anti-riot police have been deployed.
A Kiev court has ruled that tents must not be erected on the square.
In 2004 tents were a big feature of the protests against Viktor Yanukovych, the pro-Moscow presidential candidate whose election was marred by voting abuses.
He is in power now and his arch-rival, Yulia Tymoshenko, is in jail.
On Thursday parliament, dominated by Yanukovych supporters, rejected six draft laws which would have led to her release.
The EU has urged the release of Ms Tymoshenko, a leader of the Orange Revolution, which sought to eradicate cronyism from Ukraine's politics and loosen historically close ties to Russia.
Activists are using social media to mobilise supporters, and on Thursday night opposition demonstrations also took place in the cities of Donetsk, Ivano-Frankovsk, Lutsk, Uzhgorod and Lviv.
Ukraine has come under intense pressure from Russia not to sign the wide-ranging trade and association agreement at a summit with the EU next week.
In parliament on Friday Ukraine's Prime Minister Mykola Azarov said the decision not to sign the deal was motivated solely by economics and was "tactical".
He said it did not alter Ukraine's overall development strategy.
"The decision to suspend the EU association agreement signing is difficult, but the only one possible in the current economic situation in Ukraine," he said.
Opposition deputies booed him and shouted "shame!"
Some also threw bundles of paper in his direction.
The opposition also displayed the EU and Ukrainian flags in the chamber side-by-side.
The Ukrainian government says it is now looking into setting up a joint commission to promote ties between Ukraine, Russia and the European Union.
Ukraine depends on imports of Russian gas, but recently the supplier, Gazprom, complained that Ukraine had fallen behind in payments.
Pipelines transiting Ukraine pump Russian gas to many EU member states.
In 2009 Russia cut off gas supplies to Ukraine in a dispute about prices, causing fuel shortages across Europe in the middle of winter.
Explaining the government's controversial decision, Mr Azarov told MPs that Russia had voiced concern about "possible duty-free imports of European goods via Ukrainian territory, leading to significant economic losses".
And the Ukrainian government, he said, had not received any International Monetary Fund assurances that Ukraine would be compensated for any closure of markets in the Russian-led customs union.
Russia has a customs union with two other former Soviet republics - Belarus and Kazakhstan - and has been urging Ukraine to join it.
A free trade agreement with the EU would mean Ukraine adopting different trade rules.
Kiev's decision on Thursday prompted EU Enlargement Commissioner Stefan Fuele to cancel a trip to Ukraine.
It had been planned for the run-up to the key "Eastern Partnership" summit between the EU and several ex-Soviet states, which will be held in Vilnius, Lithuania, on 28-29 November.
On Twitter Mr Fuele voiced dismay at Kiev's decision, saying "Hard to overlook in reasoning for today's decision impact of Russia's recent unjustified economic & trade measures against Kiev".
"Many opportunities for country & people [of Ukraine] will now be delayed," he tweeted.
The EU's foreign policy chief Catherine Ashton also called the decision a "disappointment", saying "we believe that the future for Ukraine lies in a strong relationship with the EU".
In parliament on Friday Ukrainian opposition leader Arseniy Yatsenyuk called the government's decision state treason, accusing President Yanukovych of selling out to Moscow in exchange for cash and ensuring his re-election in 2015.
"This is a well-planned scenario by Yanukovych: how to sell the Ukrainian state and to buy himself a seat of the governor of Little Russia as part of the great Russian empire," he said.
Source: BBC News