Many burned tyres and wore balaclavas; some carried white supremacist flags.
They called on the government to end the Minsk ceasefire accord and declare war on pro-Russian rebels in the east.
The demonstrators say the Russian government is bringing troops and equipment into Ukraine, a claim that Russia has always denied.
Many in the rally were from volunteer battalions and were dressed in their battle fatigues.
They said they had returned from fighting Russian forces and demanded an end to all diplomatic relations with Russia.
The ultra-nationalist Right Sector group called the march.
Protesters also demanded the nationalisation of Russian-owned businesses.
More than 6,600 people have been killed in fighting in eastern Ukraine that began in April 2014 when rebels seized large parts of the two eastern regions.
This followed Russia's annexation of the Crimea peninsula.
The BBC's David Stern in Kiev says Friday's rally was a show of strength in the heart of Ukrainian officialdom.
But above all, our correspondent says, the demonstrators were calling for change.
Both in the way that the conflict is being fought in the east and in the way that the country is being run.
Central to their demands is an end to the Minsk ceasefire agreement signed in February which they say is a charade because of Russia's activities in Ukraine.
The Ukrainian government, Western leaders and NATO all say there is clear evidence that Russia is helping the rebels in the Donetsk and Luhansk regions with heavy weapons and soldiers.
Independent experts echo that accusation.
But Moscow denies it, insisting that any Russians serving with the rebels are volunteers.
Clashes between government troops and rebels have recently intensified.
Fierce fighting took place in June outside the rebel-held city of Donetsk, with Ukraine accusing the rebels of launching a full-scale offensive in violation of a truce.
The separatists denied this and accused Ukrainian troops stationed nearby of repeatedly shelling the city - a claim in turn denied by the Ukrainian military.
Source: BBC News