An estimated 1,000 union members and other activists marched outside the Walmart store in Paramount over what they said are unjust working conditions.
Wal-Mart said 17 workers took off from work to participate. The union said the number was more like 50.
Sheriff's deputies arrested nine people who blocked traffic on Lakewood Boulevard near the store and refused to leave.
Protesters demanded better pay, benefits and better treatment for employees.
"I barely make a living," said Martha Sellers, a nine-year full-time employee. "My car has not had an oil change in two years because I cannot afford it."
The protests did not seem to deter shoppers from entering stores. Wal-Mart said it had its best Black Friday yet.
In addition to holiday hours, the protest involves a broader campaign against the company's treatment of workers that's being waged by a union-backed group called OUR Walmart, which includes former and current workers.
The retailer has been one of the biggest targets of protests against holiday hours. Many of Wal-Mart's stores are open 24 hours, but the company offered early bird specials that once were reserved for Black Friday at 8 p.m. on Thanksgiving instead.
Mary Pat Tifft, a Wal-Mart employee in Kenosha, Wis., who is a member of OUR Walmart, started an online petition on signon.org that has about 34,000 signatures. "This Thanksgiving, while millions of families plan to spend quality time with their loved ones, Wal-Mart associates have been told we will be stocking shelves and preparing sales starting at 8 p.m.," she wrote on the site.
OUR Walmart said workers walked off their jobs in stores in Dallas, Miami and Kenosha, Wis., on Thursday. An exact number of participating employees was not available.
For their part, retailers say they are giving shoppers what they want. A Wal-Mart spokesman said the discounter learned from shoppers that they want to start shopping right after Thanksgiving dinner.
The retailer has called the protesters' actions a publicity campaign to mislead customers and employees.
Wal-Mart isn't the only retailer to launch Thanksgiving Day sales, but its workers have been the most vocal and active in protesting.
The Associated Press contributed to this report.