Guards at a nearby bank opened its basement car park to dozens of women who sheltered from the gunfire for about 20 minutes, one of the protesters told the BBC.
Some journalists, including the BBC’s team, were prevented from filming at the rally. Afghanistan’s Tolo news agency reported that its cameraman was arrested and detained by the Taliban for nearly three hours.
A former government official who asked to remain anonymous told the BBC that Taliban members were taking close-up photos of leading protesters, possibly to help identify them later.
Women have been protesting for the past week, but on Tuesday men also joined their calls for equality and safety. Many observers had commented that there were few men at the previous women-led rallies.
The protesters were heard chanting “long live the resistance” and “death to Pakistan” as they marched.
“The Islamic government is shooting at our poor people,” one woman at the protest told Reuters news agency.
Another told the agency that the Taliban is “very unjust, they are not human at all”.
The demonstrations come one day after Ahmad Massoud, the leader of anti-Taliban fighters in Afghanistan’s Panjshir Valley, called for a “national uprising” by civilians against the militants.
Many protesters showed support for the resistance forces, who say they are still fighting off the Taliban in Panjshir.
The Taliban on Monday claimed victory in the province – the final pocket of territory which has remained outside their rule.