The protest was organised by Albanian opposition parties, the Democratic Forum for Integration and the Democratic Alliance.
They claim that the government has been "abusing and discriminating against" local Albanians in Tuz, where they form the majority community.
The protesters called on ethnic Albanian politicians to quit their positions in Montenegro's state institutions until Tuz is granted the status of a municipality.
"The state has done nothing for the decentralization of Montenegro and for 24 years has ignored the demands of the Albanian parties," Besnik Gjonaj, from the Democratic Forum for Integration, said.
Sunday's protest was held ahead of the visit of Montenegrin Prime Minister Milo Djukanovic to the US, where some Albanian diaspora groups also announced a protest for April 8.
Some Albanians intend to protest in front of the US Congress against Prime Minister Djukanovic over what they call his "unfulfilled promises" regarding the status of Albanians in Montenegro.
The Montenegrin leader is to meet Vice-President Joseph Biden during the visit on April 8, mainly to discuss Montenegro's ambitions to join NATO.
Montenegro is hoping for an invitation at the NATO Summit planned for Wales in the UK this autumn.