Many held red-and-white flags and placards while a band beat drums and played other instruments. Some demonstrators danced or walked on stilts.
Unprecedented protests broke out after Lukashenko, who has ruled the ex-Soviet state for 26 years, claimed re-election with 80 per cent of the vote on August 9.
Opposition rival Svetlana Tikhanovskaya says she won the vote but Lukashenko’s security forces have detained thousands of protesters, many of whom accused police of beatings and torture. Several people have died in the crackdown.
Tikhanovskaya left Belarus under pressure from authorities and took shelter in EU member Lithuania.
Belarusians have been demonstrating across the country for nearly a month even though the protest movement lacks a clear leader, with many activists jailed or forced out of the country.
On Sunday, the protesters marched towards Lukashenko’s residence at the Independence Palace where they chanted “Tribunal” and “How much are you getting paid?”
Some participants held impromptu picnics near security cordons and water cannon close to the Independence Palace.
“I am in favour of new honest elections,” said 28-year-old protester Nikita Sazanovich.
Many say they will keep taking to the streets until Lukashenko quits. “Lukashenko must go,” said Nikolai Dyatlov, a 32-year-old protester.
“Why is our legitimately elected president located in a different country?” he said, referring to 37-year-old Tikhanovskaya.
More than 100,000 people are estimated to have flooded into the streets of the capital Minsk over the past three weekends and journalists said on Sunday the crowd in Minsk was even larger.
“Remember we are strong as long as we are united,” Tikhanovskaya told supporters in a short video address ahead of the “March of Unity”.