Demonstrators converged in front of the BBC headquarters in central London to demand an end to belt-tightening that has led to cuts in spending for public services.
Signs read "No More Austerity", "Cuts Cost Lives" and "Tories Out."
After holding a minute's silence in honour of the victims of a deadly fire in London, which killed at least 80 people, and staging a round of applause for the emergency services, protesters headed towards Parliament Square.
Main opposition Labour party leader Jeremy Corbyn was expected to address the rally.
An investigation into the fire is underway, but critics blame lax standards and cost-cutting, which they say is a consequence of austerity.
The prime minister, who lost her parliamentary majority in last month's snap election, narrowly survived a confidence vote on Thursday thanks to the support of Northern Ireland's ultra-conservative DUP party.
Their deal has been attacked by both Labour and some of May's own Conservative MPs, in part because the DUP secured an extra billion pounds (1.1 billion euros, $1.3 billion) in state aid for Northern Ireland.
A day earlier, the government had also narrowly voted down a Labour party amendment to its legislative programme -- known as the Queen's Speech -- calling for an end to a six-year cap on public sector pay.
Funding for public services -- from the National Health Service (NHS) to police and fire personnel -- has taken an increasingly emotive tone in the UK after the country was struck by three terror attacks, followed by the deadly tower blaze.
Government officials have indicated they may review spending policies, reflecting concern among Conservative MPs about continued austerity.
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