Home to a significant Uzbek minority, Osh was at the center of clashes between ethnic Uzbeks and Kyrgyz in June 2010 in which around 450 people were killed and thousands of homes and businesses destroyed.
Police said some 9,000 people attended the protest, while organizers said twice that number were present.
The protesters, backed by the nationalist Ata Jurt party, voiced support for ethnic Kyrgyz Osh Mayor Melis Myrzakmatov and demanded the resignation of the government of Kyrgyz President Almazbek Atambaev.
The protest was held ahead of the March 4 elections, in which voters will choose among eight parties to select members of the 45-seat city council.
Myrzakmatov has made himself a lightning rod for accusations of polarization in the wake of the 2010 violence. He angered some with his strident criticism of the central government following the deadly clashes nearly two years ago, when critics accused him of doing too little to prevent or stem the bloodshed. He also published a small print-run book on the unrest that he called "I Seek The Truth."