The protest took place while European Union Enlargement Commissioner Johannes Hahn visited the Macedonian capital.
The EU urged President Gjorge Ivanov to review his refusal to task Social Democrat (SDSM) leader Zoran Zaev with forming a government with ethnic Albanians.
The inconclusive December election saw the conservative VMRO-DPMNE party secure 51 seats in the 120-seat parliament -- or two more than the SDSM.
But the conservatives failed to reach a deal with ethnic Albanian parties, which have a kingmaker role.
Zaev then won the support of the Albanian parties, giving him 67 deputies in the assembly and clearing the way for him to form a government.
"Need new government urgently for reforms. No time to lose!" Hahn said in a tweet Tuesday.
However, Ivanov, who is close to VMRO-DPMNE, said earlier this month that he would not give a mandate to anyone supporting "a platform undermining Macedonia's sovereignty, territorial integrity and independence".
He was referring to the controversial demand of minority ethnic Albanian parties, who have backed Zaev, that Albanian be made an official language across Macedonia.
Ethnic Albanians make up around one quarter of the country's 2.1 million inhabitants
The president, who was on Tuesday visiting Hungary, said through this cabinet that he would not be able to meet Hahn and reiterated his refusal to name Zaev prime minister-designate, a statement said.
Ethnic Albanians make up around one quarter of the country's 2.1 million inhabitants.
Supporters of the nationalist conservatives have been protesting for the past three weeks notably in Skopje, waving the country's red and yellow flag and urging unity.
Macedonia has been mired in deep political upheaval for the past two years sparked by a wiretapping scandal.
The Social Democrats accuse VMRO-DPMNE leader and former prime minister Nikola Gruevski of having ordered the wiretapping of thousands of his rivals, including religious, media and other public figures.
Eyewitness? Submit your stories now via social or:
Email: news@pulselive.co.ke
