Parliament has voted to impeach Ms Park over a corruption scandal, but that decision has to be confirmed by South Korea`s constitutional court.
The demonstrators want her to resign at once.
Organisers say more than 550,000 people joined the ranks marching towards the presidential Blue House, the prime minister`s office and the constitutional court. Police figures were not available.
The crowd chanted "Arrest Park immediately!" and sang along to Christmas songs whose lyrics they had changed to mock Ms Park.
`Gifts and handcuffs`
"This is a special Christmas Eve as it gives me a chance to show my children what democracy is all about", Yoon Ki-Seung told the AFP news agency, as his son and daughter held up banners.
Park Chans, a 25-year-old office worker in a Santa costume, said the aim was to ensure those accused of corruption are held accountable.
"I hope that in the new year, this country will be a better place to live for the youth," he said.
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