Afghanistan's Women's Affairs Ministry described the rally as a "silent protest." Several Afghan lawmakers joined the women as they marched on UN headquarters in Kabul.
The execution of the 22-year-old woman has caused global outrage. A video footage shows the woman being shot dead as a crowd of men cheer.
Afghan authorities have blamed the execution on Taliban militants. The Taliban says it was not involved and that the woman's trial was not in accordance with Shari'a law.
President Hamid Karzai, reportedly, has condemned the killing as un-Islamic and unforgivable.