Standing outside the building in Uruguay's capital, Montevideo, on Friday night, the men claimed they were unable to cope financially since being freed from the US military prison.
The event was unusually calm, with the protesters sitting or standing in front of the embassy as well as talking to onlookers and the media.
During the demonstration, they also got down on the ground and prayed.
Syrian national Omar Mahmoud Faraj said the Uruguayan government had "promised many things, but so far these are only words."
Each man receives around $600 a month from the Uruguayan government, to cover food, clothes and other personal items.
The men are part of a group of six who were granted refugee status last year, before being taken to the South American country in December.
They had been imprisoned in Guantanamo Bay for 12 years without charge.
'We are angry'
In 2014 former Uruguayan President Jose Mujica declared that the nation would take responsibility for the former detainees on "humanitarian grounds."
The move was aimed at helping US leader Barack Obama fulfill a pledge to close the controversial facility.
Mujica's successor, Tabare Vazquez, has promised not to take in any more ex-prisoners, and called on the US to help shoulder the burden of looking after the men.
Faraj said the protest was designed to draw attention to the men's situation, complaining they had no way to support themselves.
Two of the ex-prisoners have recently been evicted from a hotel they were living in after they failed to pay.
"We came here because we are angry. It's been 15 years since I've seen my family. How can they come here if I've got nowhere to live?" Faraj said.
The men had been living in a four-bedroom house, but argue there was not enough space for them to live comfortably together.
The six - four Syrians, a Palestinian and a Tunisian - were among the first detainees sent to the prison in 2002, under the US government's "War on Terror" campaign.
They were held for allegedly having ties to terrorist group al Qaeda, but were never charged or tried.
Despite this the US refuses to send them back to their home countries, citing security issues.
It's not the first time the men have criticized their situation, admitting themselves that they have struggled to adjust to their new lives.
In early February news that the group were offered jobs but opted not to take them sparked public outrage.
an/gsw (AP, AFP)