Live images from the northeastern city, which lies approximately halfway along the 200-mile (322-kilometer) stretch between Baltimore and New York City, showed the large crowds moving peacefully through the downtown.
According to US broadcaster CNN, a demonstration of roughly 600 people began at Philadelphia's City Hall at 4:30 p.m. (2000 UTC) on Thursday.
Small clashes broke out briefly between police and protesters around 8 p.m. local time when marchers sought to reach Interstate 95.
The demonstration resumed peacefully, with police accompanying the march as it wound through the downtown in the late evening hours.
Protests in Baltimore ahead of curfew
Residents in Baltimore remain under a temporary 10 p.m. to 5 a.m. curfew, following violent protests on Monday which prompted the city to declare a state of emergency and the deployment of the national guard.
On Thursday evening, demonstrators turned out once again to protest police brutality, this time with additional qualms about the alleged contents of a police report whose findings have not yet been made public.
Baltimore police concluded their investigation into Freddie Gray's death on Thursday and submitted their findings to the chief prosecutor, City State's Attorney's Marilyn Mosby. Her office is tasked with deciding whether the death of 25-year-old African American Gray warrants charges against the six patrol officers, whose involvement in the case led to their temporary suspension.
US media has speculated about the report's contents. Reuters news agency, citing a local affiliate of the US broadcaster ABC, reported that Gray's neck was broken when it was slammed into the back of the police van. The local television station went on to report that his head injury matched a bolt in the transporter.
US daily The Washington Post reported separately on Wednesday that Gray had been "banging against the walls" and "was intentionally trying to injure himself," citing the second prisoner in the transporter. The evidence appeared to corroborate a statement by Police Commissioner Batts, also citing the second detainee, that Gray had still been moving when the van made its final stop.
Speaking to CNN reporters on the streets, several protesters expressed skepticism that Gray died of self-inflicted wounds.
Police detained Gray on April 12 for reasons that remain unclear. Video footage from onlookers shows police dragging the 25-year-old into a transporter van. By the time the police vehicle reached its destination, Gray's spine was 80 percent severed at the neck. He died a week later in the hospital.
How he could have sustained such a fatal injury remains the central question of the investigation and the source of public anger over yet another African American death at the hands of the police.
kms/bk (AP, AFP, Reuters, dpa)