The protest came as South Korea's new President Moon Jae-In heads to Washington next week for his first summit with Trump amid soaring tensions over Pyongyang's nuclear program, AFP reported.
Around 4,000 people participated in the demonstration, the largest since South Korea and the United States agreed to deploy the system, known as Terminal High-Altitude Area Defense (THAAD).
Protesters carried placards that read: "Trump stop forcing (South Korea) to deploy THAAD" and "No THAAD, No Trump".
The crowd included residents from the southeastern county of Seongju where the system is being deployed who say it poses health and environmental hazards and argue that its presence could make them a priority target for North Korea.
THAAD was approved by Moon's ousted predecessor, conservative president Park Geun-Hye, who then steamrollered the project through a hasty environmental review during her last months in office as she became ensnared in a massive corruption scandal.
The deployment has also been opposed by Beijing, which fears it could undermine its own nuclear deterrent and has reacted with fury, imposing a series of measures seen as economic retaliation on the South.
Though parts of system are already in place, Moon this month suspended further deployment.
Officially, the delay is to allow for a new, comprehensive environmental impact assessment, but analysts say the move is a strategic delay by Moon to handle the tricky diplomatic situation he inherited.