Demonstrators shouted insulting messages against Serbia's President Boris Tadic.
The rally was organised by an association of demobilised Serb soldiers who were under Mladic's command during the 1992-1995 war in Bosnia and Herzegovina.
The association's leader Pantelija Curguz told the crowd that they considered Mladic "a hero of the patriotic war".
Carrying flags of the Bosnian Serb entity and posters with Mladic's photos and slogans in his support, demonstrators accused Tadic and Serbia's authorities of treason.
Mladic, wanted by the ICTY on genocide charges, was arrested in Serbia last Thursday after evading justice for 16 years.