Nairobi police chief Tito Kilonzi said that four people were arrested during the demonstration, organised by the Nairobi-based National Council of Community Based Organisations (NCSBO).
"We are here to complain about the high cost of living. We want the government to subsidise the cost of food," said NCSBO chief Tom Aosa, who organised the rally.
Protestors demanded that the government slash the cost of maize flour from 80 shillings ($1.30; Dh4.78) to its rough 2006 level of 30 shillings.
They also urged the government to rein in inflation, which stood at 26.6 per cent in April.
"Food prices have increased two- to three-fold in the last six months and the government has done nothing," said Consolata Moraa, one of the protesters.
On Wednesday, Energy Minister Kiraitu Murungi spurned mounting calls to introduce price controls in the oil sector, saying that current high fuel prices were caused by problems with the country's control.
In May, President Mwai Kibaki ordered the importing of three million bags of maize as a precautionary measure while the government seeks ways of upgrading its agriculture.
Much of the country's agricultural sector – which employs a majority of Kenyans – was severely affected by post-election violence earlier this year.
The crisis left at least 1,500 people dead and displaced around 300,000.