The event is one of 763 being staged around the world to show solidarity with the March For Our Lives movement in Washington DC.
It was set up after a gunman killed 17 students and teachers at the Marjory Stoneman Douglas school in Florida.
Several hundred people also gathered outside the US embassy in London.
Speakers at the Edinburgh event included the family of Dunblane victim Emma Crozier.
Jack Crozier and his sister Ellie said they wanted to show change can happen and encourage the Parklands students in their campaign.
Ali Ross and her brother Andrew – who lost their sister Joanna in the tragedy – said it was important to them to come and show support for those marching in America today.
Catherine Wilson, who lost her sister Mhairi in the 1996 mass shooting, also attended Saturday’s event which is supported by the Dunblane No Guns movement.
In London, several hundred people including American actor Josh Gad gathered outside the new US embassy in Vauxhall.
The crowd joined in chants and held banners with slogans including “protect kids not guns” and “books not bullets”.
Jon Cornejo, a campaigner from Amnesty International who was at the London protest, told BBC News: “I think what’s happened after the Parkland shooting is really important.
“The victims of that shooting have come together to raise their voices and use their platform to call for meaningful gun reform in the USA.
“This is the beginning of a movement. They are mobilising together to call on US politicians to bring in sensible gun control laws and I think this will be the start of something big.”
Tens of thousands of students are expected to march on the White House for the main protest event in Washington.
Immediately following the MSD High School shootings, students demanded that the US government pass “meaningful” gun legislation.
They have called for “prioritising the lives and safety of American children over campaign donations from the National Rifle Association”.
Message of support
President Donald Trump said last year he would “never” infringe on the right to keep arms – a long-running and contested debate within the US.
A spokesman for the Edinburgh March For Our Lives event said: “It’s hard for people in one country to demand action within another country.
“But by marching abroad you show solidarity and support for the children of America. Let the American government know that the world is watching and that the right to go to school and come home alive is a human right.”
Earlier this month, survivors and relatives of the Dunblane tragedy, in which 16 children and a teacher were shot dead by Thomas Hamilton, sent a message of support to students affected by the Parkland school shooting .
A letter was sent to Marjory Stoneman Douglas School on the 22nd anniversary of the Dunblane murders.
Ten family members of victims and survivors also recorded a video message entitled Dunblane Stands With Parkland.