The demonstration began outside Premier Philippe Couillard's office and headed toward Club 357-C, an Old Montreal establishment that has been mentioned at Quebec's corruption probe as a venue for people of influence.
Many people wore Halloween-themed costumes and the protest's slogan was Austerity: A Horror Story.
"These attacks affect everybody," said Veronique Laflamme, a spokeswoman for the group that organized the protest.
"If you cut the level of investment in public services, that has an impact on people."
Couillard's government has reiterated the urgent need to restore order in public finances, saying it is "crucial to the prosperity of Quebecers.''
The government formed a commission in June to find ways to save $3.2 billion in expenses. It is headed by former Liberal cabinet minister Lucienne Robillard.
The government is hoping to achieve a balanced budget next year.