Martin, who was unarmed, was shot and killed by neighborhood watch volunteer George Zimmerman in February. Zimmerman has claimed self-defense and has not been arrested.
The march began about 2 p.m. and ended with a rally in the Leimert Park area of the city.
The rally in Los Angeles was one of several taking place across the county. Political leaders, sport stars, entertainers and several thousand people rallied in Miami in support of Martin's parents. Basketball stars Alonzo Mourning and Isaiah Thomas, singers Chaka Khan and Betty Wright were among them.
Martin's father, Tracy Martin, says police need to make an arrest now.
"We know our kid's voice. We knew that. It's the Sanford Police Department that is in denial. Justice needs to be served," he said.
Zimmerman has been in hiding since the fatal shooting.