Several hundred people have gathered in New York's Union Square, where police arrested at least 60 people.
There were also rallies in Washington DC, Boston and Minneapolis.
A national debate over the use of police force has been going on since last summer, when a black teenager was killed in Ferguson, Missouri.
The US Department of Justice has opened an investigation into the death of Gray, who suffered fatal spinal injuries when arrested by police.
His funeral took place on Monday and was followed by widespread rioting, arson and looting.
Since then a curfew has been in place on the streets of Baltimore from 22:00 to 05:00.
Hours before the second night of curfew, on Wednesday evening, a large march made its way through Baltimore's streets.
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