Some 28,000 people, according to local media, surrounded the building holding banners reading "No more US bases in Okinawa" and "Follow the will of Okinawa".
Many wore blue, the colour symbolising support for the island.
Police did not give an estimate of the number taking part in rhe rally, the latest in a long series of protests.
The dispute has intensified mistrust between the central government and the southern island chain.
Okinawa accounts for less than one per cent of Japan's total land area but hosts about 75 per cent of US military facilities in the country.
But Okinawa governor Takeshi Onaga and many island residents want a replacement for Futenma built outside Okinawa -- either elsewhere in Japan or overseas.
They say they can no longer live with the noise, accidents and occasional crimes by US service members.
Japan and the United States first proposed moving Futenma in 1996. But they both insist the replacement base must remain in Okinawa, from where US troops and aircraft can respond quickly to potential conflicts throughout Asia.
