Similar marches have previously taken place both in the Swedish capital and southern city Malmö.
The march has been organised by the Jewish congregation in Stockholm and the Association for Young Jews in Sweden.
Speaking to daily Dagens Nyheter, association chair Petra Kahn says the march is a reaction to growing anti-semitism in Europe and Sweden, adding that the participation of leading politicians is important for the Jewish community in Sweden.
"I know that there are Jews in Sweden seriously considering whether they can live in this country in the future, even though their families have lived here for generations. So it means a lot that the political powers-that-be show that this is an important issue, and they they will not accept the growing anti-semitism", she told DN.
The march through central Stockholm comes just one day after the small neo-Nazi party "Party of the Swedes" also walked the streets of the Swedish capital, provoking massive anti-fascist demonstrations in response.