Some erected barricades and burned tyres as scuffles spread around the streets of the capital, Ouagadougou.
Authorities had suspended mobile internet services and deployed hundreds of riot police to stop the gathering.
There is growing anger against both the government and the French soldiers who are supporting the Burkinabe army.
Hundreds of people joined Saturday’s protest, which was organised by a group calling itself the 27 November Coalition and demanded the president’s resignation.
“We refuse to lose Burkina Faso. We will put in someone who is competent to assure the security of the nation,” one protester told the Associated Press news agency.
There has been an escalation of violence since the beginning of November, in which scores of security officers have been killed.
The worst was on 14 November when 53 paramilitary officers and four civilians were killed during a raid on a camp in Inata in the north.
After reports that the officers had run out of food in the run-up to the attack, President Roch Kaboré said he would announce “imminent changes” within the military structure, and ordered the “active and effective” presence of military chiefs on the front line.
West Africa faces up to policing its terror triangle
Africa’s semi-arid Sahel region has been hit by an insurgency since militants captured large parts of northern Mali in 2012 and 2013.
In Burkina Faso, the violence has forced more than a million people from their homes over the past two years.