Protest marches were also being held in another three cities, including the town of Lezha northwest of Tirana, Vlora to the southwest and Korca to the southeast.
The demonstrations come two weeks after three protesters were shot dead in clashes with security forces during anti-government protests in Tirana. Another 150 were injured in the violence.
The opposition Socialists are demanding that conservative Prime Minister Sali Berisha hold early elections over allegations of corruption and vote rigging in the previous 2009 general election. But Berisha has refused to resign, accusing the opposition of trying to stage a coup.
The Socialists are seeking "an Albania that is freed from the escalating corruption," opposition leader Edi Rama told the AP during the demo, adding that the government had "transformed itself into a regime that wants to make of Albania something completely different of the European dream."
Tensions rose sharply last month when the country's deputy prime minister, Ilir Meta, resigned amid allegations he tried to influence a state tender for a hydropower station.
Chanting "We want Albania without Sali" and carrying banners with slogans such as "Berisha, thief," at least 5,000 protesters marched through the center of the capital, but avoided the main government building, outside of which the Jan. 21 riots occurred.
"The only way out is that Berisha should leave. He has plunged the country deep into poverty, unemployment," said Ruzhdi Hoxha, a middle-aged demonstrator.
Police and opposition figures for the numbers of demonstrators were radically different, with police saying a total of about 9,000 people demonstrated in all four cities, and the opposition Socialists putting the total figure at 100,000.
Police said about 3,000 protesters marched in Tirana, another 3,500 in Vlora, about 2,000 in Korca and up to 600 in Lezha. Socialist Party spokeswoman Armela Ymeraj put the figures at 40,000 in Tirana, 30,000 in Vlora, 20,000 in Korca and 10,000 in Lezha.
All demonstrations were peaceful, and no incidents were reported in any, police said.
The opposition has vowed to hold weekly rallies across the country every Friday.