Several vehicles were set alight by protesters who also hurled stones and flares at police. About 50 people were hurt and 30 detained, officials said.
Belgium's new government plans to raise the pension age, freeze wages and make public service cuts to meet EU targets.
Trade unions plan a series of strikes.
Thursday's march was one of Belgium's biggest labour demonstrations since World War Two.
Steelworkers, dockers and teachers were among the thousands who took part, protesting against government austerity policies.
"They are hitting the workers, the unemployed," said Philippe Dubois, who came from the industrial region of Liege.
"They are not looking for money where it is, I mean people with a lot of money.''
The march marked the start of a month-long campaign by trade unions and is to be capped with a national strike on 15 December.
The centre-right government of Prime Minister Charles Michel says the tough austerity measures are necessary to keep the budget deficit down.
But Marie-Helene Ska, secretary general of the union CSC, said the government had to look elsewhere for the cash.
"The government tells us and all of the parties tell us that there's no alternative. We don't contest that they have to find 11bn euros (Â£8.6bn; $13.6bn) but we've been saying for a long time that it's possible to find this money elsewhere, rather than in the pockets of the workers."
Government-led talks between unions and employers opened on Thursday.
Belgian police have used tear gas and water cannon against violent anti-austerity protesters in central Brussels after a largely peaceful march by about 100,000 workers.