The Sixty-four Counties Youth Movement organised the event, which started with concerts by national rock bands near a 1956 memorial in the City Park.
The event was held amid heavy police presence.
Protesters carrying the national tricolor and red-and-white stripes associated with the far right left the square to walk to the nearby buildings of the Serbian, Romanian and Slovak embassies.
The crowd carried banners reading “Justice for Hungary” and chanted “Trianon!” while anti-Semitic remarks were also heard.
Gyula Gyorgy Zagyva, a lawmaker of the radical nationalist Jobbik party, addressed the gathering earlier in the City Park, and said that today, 91 years after the treaty was signed, Hungarians, families, relatives still lived apart.