The crowd has grown more middle-class since 2005 when the first march was held. A string of well-publicized crimes committed by migrants has embittered many Muscovites who see police as unwilling to persecute the perpetrators.
Authorities have largely ignored the flow of Central Asians migrants, neither trying to integrate the newcomers nor cut down on migration.
While some of the onlookers were displeased, other locals said they were supporting the march.
Yelena Yermakova, a 56-year-old who was taking a walk with her daughter and two grandchildren, said there are too many migrants in Moscow and they are "getting cheeky."
Monday's rally came three weeks after rioters targeted a vegetable warehouse where they believed the alleged migrant killer of an ethnic Russian man was working. Police later rounded up more than 1,000 migrants working at the warehouse.
Some demonstrators praised the riot and suggested it was backed by the state.
"People received a signal that if they engage in such pogroms, there will be progress," said Yevgeny Morgunov, a 37-year-old researcher at the Russian National Academy of Sciences.
He said he didn't support the radical exclusionary sentiment reflected in the nationalist slogan "Russia for Russians," but said "if Russians feel good, the other people of Russia will feel it too."
Morgunov said he and others would not be going to protests where neo-Nazis were marching if at least some nationalist forces were represented in Parliament.
Russia has recently liberalized the entry of parties into politics, registering dozens of obscure political groups. But even mildly nationalist forces were not allowed.
About 30 people were detained at the rally for using Nazi slogans and symbols as well as for other misdemeanors, Moscow police said.
Nationalist rallies were held in other Russian cities as well, including St. Petersburg, Kazan and Irkutsk.
A U.N. report in September said Russia has about 11 million migrants. Russia is visa-free for all Central Asian republics, so most of the migrant workers are in Russia legally.