Many of the participants wore hooded sweatshirts in support of Martin, who was wearing one at the time of his death.
Police said about 2,500 people started the march, which swelled as it proceeded into the heart of Center City. Final police estimates for the number of participants ranged from 5,000 to 8,000.
No arrests were reported.
Martin, 17, had gone to a 7-Eleven and was walking back to his gated community to watch a basketball game when George Zimmerman, a Neighborhood Watch volunteer, followed and shot him. Zimmerman contended that he shot Martin in self-defense and was released by police after questioning.
Philadelphia was the latest city to have a march in response to the shooting and how the police handled the aftermath. On Wednesday, protesters gathered in New York and Miami to call for the arrest of Zimmerman and to support Martin's family.
During Friday's march, people chanted: "Do I look suspicious? I am Trayvon Martin."
"I have a brother that's 12. We let him explore. This could've been my own brother," Quay Coles, 21, of Folcroft, said before the march. "Though this took place states away, there are people with the same mind-set in this city."
Andre McEachin, 52, of North Philadelphia, was upset that Zimmerman could plead self-defense and not face criminal charges.
"If your life was at stake, maybe I could understand. But to kill an unarmed child is a world of difference," McEachin said.
"This is not just for blacks," he said. "If someone doesn't like you because you have a hoodie on, it could be you. Justice and equality, that's the American dream. Doesn't say anything about what color you are."
Before the march, a man was handing out Skittles, the candy Martin had bought at the convenience store.
Earlier in the day, City Councilwoman Blondell Reynolds Brown placed the shooting within the larger dialogue about race in America.
" 'Existing while black' for African American boys means that everywhere they go, there are hidden land mines that could go off at any given moment at unexpected times and places," she said.
"For Trayvon Martin, he unknowingly stepped on one of those land mines on the way home to watch an [NBA] basketball game, like so many of his peers."
Moody, the organizer, maintained: "The march is not a race thing. It's about injustice - everyone goes through that.
"It's a peaceful gathering - we don't want to clash with the police like they did in New York," he said. "But we don't want teenagers to be scared to go to the corner store, either. We want our voices heard."
Jonah EtShalom, 28, of West Philadelphia, said Martin's shooting was "symptomatic of a broader problem of institutionalized racism.
"In this country, people of color - especially young black men - are killed and institutionalized at such large and problematic numbers that need to change," she said. "No one should be assumed to be criminal because they're black."
Carmena Ayo-Davies, 28, who helped Moody stage the march, said she hoped the event would unite the Greater Philadelphia community.
"We all stand together as people. Killings are rising in major cities," said Ayo-Davies, who runs a local marketing agency. "It's time to put our hoodies and sneakers on and come together for a very good cause. All walks of life are standing with us. This is open to all - not just African Americans and minorities."
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Staff writer Robert Moran contributed to this article.