Opposition leaders joined the Kiev protest, said to be the largest since the Orange Revolution in 2004.
Police fired tear gas as protesters tried to break through a cordon around government buildings.
A pro-government rally a few miles away attracted about 10,000 people.
Kiev police said they had fired tear gas after protesters threw a smoke grenade at officers in an attempt to break into the Cabinet of Ministers building.
Ukraine made the decision on the EU deal last week, saying it could not afford to break ties with Moscow. Russia is trying to bring Kiev into its own customs union.
Russian President Vladimir Putin accused the EU of blackmailing Ukraine to sign the deal during a summit in Vilnius next week.
People arrived at the rally, on European Square, with families and children, many holding banners with slogans like “I want to live in Europe” or “Ukraine is part of Europe”.
Several rallies in Kiev and other cities have been held over the last few days, but Sunday’s has been the largest so far.
World heavyweight boxing champion Vitali Klitschko, who leads the Udar movement and attended Friday’s rally, was not present.
Ukrainian news agency Unian said he had been flying back from the US after celebrating his daughter’s birthday but his plane was not allowed to land in Kiev because of weather conditions.
On Friday, Ukrainian PM Mykola Azarov said the decision not to sign the deal was motivated solely by economics and was “tactical”. He said it did not alter Ukraine’s overall development strategy.
The Ukrainian government says it is now looking into setting up a joint commission to promote ties between Ukraine, Russia and the EU.
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