Local authorities tried to ban the rally that has been held every year for over a decade, and which the government has slammed as "shameful".
But organisers obtained a court order allowing them to proceed.
Dozens of members of far-right groups from across Europe also took part.
"We object to being called anti-Semites, neo-Nazis, or fascists. We are simply nationalists," rally leader Zvezdomir Andronov told AFP.
Swede Robert Eklund from the Nordic Resistance Movement said that he was in Bulgaria "to fight a common enemy -- multiculturalism, globalisation and the EU", adding he wanted "to stop non-European immigration."
The black-clad protesters marched through downtown Sofia for over two hours, lighting torches and chanting the name of Hristo Lukov, a Bulgarian general known for supporting Nazi Germany during World War II and for his anti-Semitic views.