"Scotland still loves EU" one banner read, as the protesters on Saturday made it clear they did not vote in favour of leaving the bloc, reports Efe news.
In the June 2016 referendum, 62 per cent of the people in Scotland voted to remain.
In Saturday's protests, participants called for a second independence referendum, something Westminster has strongly opposed.
UK Prime Minister Boris Johnson said the issue was settled with a public vote that was held in 2014, when 55 per cent rejected independence.
Scotland's First Minister Nicola Sturgeon has argued that Brexit has brought about a completely different scenario that justifies a fresh vote.
Protesters gathered near the regional parliament building, where the sound of bagpipes could be heard along with speeches from the organizers, pro-independence group Stand Up For Scotland.
There was also a small group of about 10 people who were celebrating Brexit and Britain's independence.
A protester said: "I feel sad but we're going to get back into Europe, Scotland has always been a part of Europe since history began we've always been a European nation."
He accused Westminster of being "isolationist" and added he was confident there would be another referendum this year.
Fellow campaigners said they felt "disappointed" and that they should "still be in Europe".
They said they are also hopeful for another referendum this year so that Scotland can rejoin the EU.
The latest survey published by YouGov on Thursday revealed that secession support was in the lead for the first time since 2015 at 51 percent, compared to 49 percent opposing.
The reason for the increase is likely to be the number of Scots who support EU membership and would have changed their minds in 2014 if Scottish independence allowed the country to be part of the EU.
Edinburgh, where up to 75 per cent of people supported staying in the bloc, held several events to say goodbye to its former European partners.
At 11 p.m. on January 31, as the UK officially ended its 47 years of relationship with the bloc, hundreds of people gathered at the gates of the Scottish Parliament in a candlelit vigil.
There will now be a transition period last at least until the end of 2020 during which time the UK and Brussels will try to negotiate a trade agreement.
( With inputs from IANS )