The throng at the capitol then stood up and chanted "take a knee" and "who do you protect?" as officers faced them.
Evening curfews were ordered in dozens of cities following a week of protests over the death of 46-year-old George Floyd in Minneapolis police custody.
Largely peaceful during the day, crowds have in previous nights erupted into vandalism, arson and looting after dark.
President Donald Trump has called for the National Guard or US military to crack down on what has called "hoodlums," "thieves" and "thugs" responsible for the violence, blaming state governors or local officials for failing to intervene.
On Tuesday protesters in several cities massed peacefully in large numbers, including in Los Angeles, Washington and Philadelphia. In New York City, thousands held an orderly march up 86th Street, chanting and holding signs saying "No justice, no peace" and "say his name, George Floyd," followed by a silent vigil.
In Floyd's hometown of Houston, thousands gathered for a march organized by his friends and family.
On Hollywood Boulevard in Los Angeles, hundreds of people filled the street from curb to curb. Others gathered outside Los Angeles Police Department headquarters, in some cases hugging and shaking hands with a line of officers outside.
Los Angeles was the scene of violent riots in the spring of 1992, following the acquittal of four policemen charged in the beating of black motorist Rodney King, that saw more than 60 people killed and estimates of $1 billion in damage.
Floyd died after a white policeman pinned his neck under a knee for nearly nine minutes in Minneapolis on 25 May, reigniting the explosive issue of police brutality against African Americans.
The officer who knelt on Floyd, 44-year-old Derek Chauvin, has been charged with third-degree murder and second-degree manslaughter. Three other officers involved were fired but not yet charged.