The crowd, estimated at around 3,000 by an AFP photographer, marched from the parliament to the presidential palace, chanting for "zero tolerance" of corruption.
"Our government got rich very quickly, while most people got poorer very quickly," Gabor Vago, one of the organisers, told the crowd.
Marchers held placards condemning some senior members of Orban's government for their alleged roles in recent corruption scandals.
They also demanded the resignation of Ildiko Vida, Hungary's Tax Office chief after she admitted last month being handed an entry ban by the US State Department over corruption allegations.
"If someone accuses then provide the proof -- from an ally and friend like the US, this is expected -- but this hasn't happened yet," government spokesman Zoltan Kovacs said at a press conference today.
The corruption allegations come during a period of strained relations between Hungary and the US. In September President Barack Obama criticised Budapest for targeting civil society, while Vida's ban was one of six issued to high-ranking officials.
Washington's top envoy in Hungary, charge d'affaires Andre Goodfriend, was also summoned to the Foreign Ministry yesterday after Senator John McCain called Orban a "neo-fascist dictator getting in bed with (Russian President) Vladimir Putin".
The unusual mass demonstrations forced Orban to scrap that plan, in his first major policy retreat since 2010.
