Some 500 people gathered from early morning at the National Stadium in the commercial capital, holding signs including "The unemployed are hungry and angry" and "I will not be silent."
The protestors then marched through the streets to the rhythm of drums and trumpets, singing "enough is enough".
"Everything is very expensive today: the price of food, the price of gasoline has increased. We suffer but politicians do not care," student Elias Ozikpu told AFP.
The protestors were accompanied by police, who had earlier warned Nigerians not to assemble because of fears of a "breakdown of law and order with attendant loss of lives and property".
Yesterday, the initiator of the protest, leading Afro-pop star 2Face, announced he had pulled out of the rally because of security concerns.
But his call to action - a rare event from a celebrity in Nigeria - had received widespread popular support and several civil society organisations vowed to carry on with the protest.
Nigerians have been suffering after a fall in oil prices since mid-2014 slashed government revenue, pushing up inflation to more than 20 per cent and weakening the naira currency.
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