Participants carry pictures of Reza Pahlavi, placards directed against the Iranian regime, and flags, including those of the United States, Israel, and the "Lion and the Sun" - the national flag used before the Islamic Revolution.
The group - one of many in the Iranian opposition - advocates continued attacks to overthrow the regime.
"I am here to support the people of Iran. They need our support," says Roya Mothadam, one of the participants.
Western countries must act now and make Iran free without the mullahs, no matter what.
Reza Pahlavi has been invited to speak in the Riksdag on Monday by the KD and SD parliamentary groups.
The Shah of Iran was overthrown in 1979 after ruling the country with an iron fist. Reza Pahlavi has lived in exile since then and lives today in the United States.
