The protest which included about 130 undocumented immigrants was called by trade unions, political parties and human rights organisations which deplored "increasing repression" in the country's asylum policies.
ATS news agency said the slogan of the protest was "Stop an asylum policy that disregards human rights".
Swiss lawmakers restricted the asylum law this month, barring asylum seekers from applying at Swiss embassies, a move aimed at stemming a tide of immigrants from Eritrea, among them deserters and conscientious objectors.
The amendment will be effective from late 2012 or early next year.
Parliament also decided that delinquent and unruly immigrants can be held in special centres where their movements would be restricted.
Lawmakers also restricted family reunions for officially recognised refugees, with only a spouse and underage children allowed to immigrate.
And they cut social benefits for asylum seekers who will only be given emergency aid, half the money so far paid out.
Several of these measures must still be approved by the upper house of parliament.
In 2011, 22,551 asylum requests were made in Switzerland, a record since 2002, and a rise of 45 percent over the 2010 figure.
Most asylum seekers came from Eritrea, Tunisia and Nigeria.