The Brisbane rally was one of seven the Construction, Forestry, Maritime, Mining and Energy Union held across the country on Wednesday morning.
The union is calling for industrial relation reform and the abolishment of the Fair Work Ombudsman.
"The Fair Work Ombudsman has been a dismal failure on wage theft, sham contracting and corporate insolvencies," CFMEU national secretary Zach Smith said in a statement.
"Australian workers deserve a watchdog with teeth, not one that tickles the tummy of corporations who do the wrong thing."
Hundreds of members rallied outside the Brisbane Commonwealth parliament offices at Waterfront Place, carrying flags and smashing a glass door.
Thousands of others marched through city centres in Melbourne, Sydney, Adelaide, Perth and Cairns, chanting for workers to unite and holding signs saying, "Australia needs a pay rise".
Union secretary for Victoria and Tasmania John Setka also spoke at the Melbourne rally.
There have been a string of long-running disputes between the CFMEU and the Fair Work Ombudsman, several of which have ended up in the Federal Court.
Last month, the court imposed $114,000 penalties against the union over an unlawful disruption case brought forward by the ombudsman.
Another case between the union and the ombudsman was listed for an interlocutory hearing in the Federal Court in Melbourne on Wednesday morning.
In a statement, the Fair Work Ombudsman defended its record, noting that in the last financial year it recovered more than $532 million on behalf of over 384,000 underpaid workers.
A spokesman said the ombudsman had no jurisdiction in relation to a building contractor's right to receive payments, including in an insolvency context.
AAP has contacted Dexus - the owners of the Waterfront Place building - for comment.
A Queensland Police spokeswoman confirmed they have received no reports on the smashed door.
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