The rally came as the European Union's top foreign policy official met with the interim leaders, the second senior Western official to visit Egypt this week.
The demonstrators said the new leadership was illegitimate and accused the military of staging a coup against the country's first democratically elected leader. Security forces barred them from reaching the Cabinet building, but protesters painted graffiti on the walls calling military chief Abdel-Fattah el-Sissi a killer and traitor.
A day after interim President Adly Mansour swore in a new 34-member Cabinet. EU foreign policy chief Catherine Ashton met with Mansour and Mohamed ElBaradei, interim Vice-President for international relations.