Many lawmakers, including some Republicans, have also called on him to make them public.
Senate Democratic leader Chuck Schumer of NY has said Trump's refusal to release his returns could hinder Republicans' prospects for a rewrite of the tax code.
The tax returns go to the heart of the Russian Federation scandal, and the Trump family's potential conflicts of interest in the White House. There was a large inflatable chicken, with hair that resembles Trump's, suggesting Trump is "too chicken" to release his taxes.
A comedian impersonating President Trump during Saturday's Tax March in Washington, D.C., mockingly "released" Trump's tax returns, hurling streams of shredded paperwork into the crowd.
Organizers expected more than 10,000 to attend the Tax March in Washington, DC, and many more to gather in New York City, where crowds will pass Trump Tower, the president's high-profile Manhattan property. "We deserve that level of transparency from all our Presidential candidates, Democratic and Republican, in the future".
She said less should be spent on wars, and more should go to public service television and the Meals on Wheels programme, which Mr Trump has made funding cuts to in the first months of his presidency.
This was Nick Wallas' third anti-Trump march this year. Others shared why the march was important to them on Twitter.
"Congress has the power to find out and they've used it before", including on Nixon, he said. The ballot initiative would require all elected officials at the state and national level to release their tax returns from the past five years. There were also large rallies in NY and Los Angeles.
Liberals and anti-Trump conservatives alike joined the roughly 100 protests held across the country.
Ezra Levin, executive director of Indivisible, among the major protest groups that's formed in the past few months, said the Tax Day protest was about more than just seeing someone's 1040s. The current federal tax system - which allows, and even encourages, the wealthy and corporations to avoid paying their fair share of taxes - is fundamentally rigged, unjust and broken. Now, Trump, Paul Ryan, and Mitch McConnell are making matters worse by proposing dramatic tax cuts for corporations and the wealthiest Americans.