Thursday was the third night of protests in the city. Officers responded in riot gear and arrested at least two men.
Olango, 38, was fatally shot Tuesday after police responded to calls of a man acting erratically and running into traffic.
Police said Olango pointed an electronic vaping tube at officers in a shooting stance, and they responded by opening fire.
Authorities have released a still image of video capturing that moment, but protesters want all of the footage released.
Olango's mother says her family fled Uganda to the U.S. for safety.
"We wanted protection, but now I ask the question, 'Where should we go?'" she said at a news conference on Thursday.
Olango had a criminal history, and according to Immigration and Customs Enforcement officials, the department tried to deport him twice, but Uganda refused to take him.
The officer who shot Olango, Richard Gonsalves, had been demoted from sergeant in a sexual harassment settlement in March 2015.
El Cajon Mayor Bill Wells told ABC News that he defends the city's police department but also understands the public's frustration.
A full investigation is underway.