Gray died of a spinal injury Sunday, exactly one week after he was taken into custody.
Demonstrators marched to a local police station that was protected by barricades. One man was arrested after crossing that barricade, but the protest was peaceful.
Among the crowd were members of Gray's family, including his mother. She held her head and cried. Many of the protesters clasped hands, and raised them in a show of support.
"Make some noise for Freddie Gray," one man shouted into a megaphone.
"We won't stop," said another. "We have the power and, of course, today shows we have the numbers."
Speaking to CNN's "Anderson Cooper 360," Baltimore Mayor Stephanie Rawlings-Blake said she understands where the protesters are coming from. She understands their frustration.
"Mr. Gray's family deserves justice, and our community deserves an opportunity to heal, to get better, and to make sure that something like this doesn't happen again," she said.
Earlier in the day, the Baltimore Police Department released the names of six police officers suspended with pay.
They are: Lt. Brian Rice, 41, who joined the department in 1997; Officer Caesar Goodson, 45, who joined in 1999; Sgt. Alicia White, 30, who joined in 2010; Officer William Porter, 25, who joined in 2012; Officer Garrett Miller, 26, who joined in 2012; and Officer Edward Nero, 29, who joined in 2012.
After an "in-custody death," it is standard procedure to release the names of officers involved, said Baltimore Police Department spokesman Capt. Eric Kowalczyk.
It doesn't mean the officers did anything wrong, nor does it mean that these were the only officers involved, he said.
Of the six officers, three were on bikes and initially approached Gray, another made eye contact with Gray, another officer joined in the arrest after it was initiated and one drove the police van, Kowalczyk said.
The autopsy hasn't yielded many answers in Gray's death -- in fact, it's prompted more questions -- but Baltimore's mayor pledged Tuesday to find out how the 25-year-old died after being arrested a week prior.