About 300 protesters gathered in Pershing Square. After the rally, the group marched to a nearby Wal-Mart office, then headed to City Hall.
Among the 20 demonstrators arrested were a few current Wal-Mart employees, clergy and union activists.
"Every single day, I'm always having to stress about having money left over to support not just myself but also my family and being able to bring home money to have food on my table," said Richard Reynoso, a Wal-Mart employee.
Wal-Mart employees are demanding higher wages and health benefits. They also want the company to stop going after employees who try to unionize fellow workers.
"I want Wal-Mart to stand up and do the right thing and reinstate the illegally fired workers," said Martha Sellers, a Wal-Mart employee. "I want them also to improve our working conditions, to improve the poverty wages they put us through and provide healthcare for all of their workers."
Similar protests were held in 15 cities across the country, including Miami, Chicago, San Francisco, Seattle and New York City, where three people were arrested for civil disobedience.
The march ended in Chinatown, where a Wal-Mart neighborhood market store is scheduled to open later this month.
Wal-Mart denies that it is a low wage employer. A spokesperson called the protest "a show," saying most of the demonstrators don't work for the company and that it's a union-led demonstration with paid protesters and activists.
Wal-Mart had us speak to one of its workers, Karrie McNeal, who has been with the company for four years.
"Wal-Mart is taking care of my needs. I come to work every day. I have my benefits. I pay my bills, so I have no complaints, as far as benefits and my pay is concerned right now," said McNeal.