The protests come following the success of the anti-immigration Sweden Democrats in Sunday's elections. The Sweden Democrats won just under 13 percent of the vote in the national vote.
The demonstration in Stockholm then marched on to the Swedish Parliament. Police say the demonstrations passed peacefully, news agency TT reports.
One of the marchers in Gothenburg was Sonja Jansson. She told Swedish Radio in Gothenburg: "I was a bit gutted by the election result. Even if politicians are being blamed now, that it is their fault, I think that every person has the responsibility to scrape below the surface and see what is underneath. My mum saw when the Jews came during the Second World War, she is 85 years old today and shocked that this can happen. That's why I am here today."