The protests were triggered by twin bombings on Thursday targeting Shi'ite ethnic Hazaras in Quetta, capital of Balochistan province. The attacks, claimed by the Lashkar-e-Jhangvi militant group, killed at least 96 people.
Sectarian killings have been rising in Pakistan even as deaths from other militant violence have dropped.
Lashkar-e-Jhangvi, whose roots are in the heartland Punjab province, wants to expel the Shi'ites who make up about a fifth of the 180 million population. Human Rights Watch says more than 400 Shi'ites were killed in sectarian attacks last year.
"We want assurances that the killers will be arrested so our younger children will not die also," said Sakina Bibi, 56, sitting by the coffins of two of her sons.
"They were my everything," she wept. "Sitting here will not bring them back but it is our right to protest."
Islamic tradition demands that the dead be buried as soon as possible. Leaving the bodies of loved ones above ground for so long is such a potent expression of grief and pain that many people in other cities held protests and vigils in solidarity.
Protests took place in five areas of the commercial capital Karachi, home to 18 million people. Protesters blocked railway lines and the road connecting the airport to the city. Hundreds also gathered outside the president's private house.
"If we remain silent now, the whole Shi'ite community will be wiped out in Pakistan and the security agencies won't say anything," said Ali Muhammad, 55.
"WE WILL CHOKE THE ROADS"
"We will choke the roads of the entire country if the demands of the Hazara community are not met."
In the eastern city of Lahore, thousands of people gathered outside the governor's mansion, vowing to stay there in solidarity with the Quetta protesters.
In the provincial capital of Peshawar, around 600 people settled down for the night outside the governor's house.
Small protests also broke out in 11 other cities across the country, including Islamabad.
Prime Minister Raja Pervez Ashraf met local officials in Quetta, but did not talk to the protesters, who refused to leave the site of their vigil.
A person present at the talks said the government had promised to carry out a limited operation against suspects and consider legal possibilities for removing the chief minister of Balochistan.
But there was no public statement and no sign that the protesters - who want security guarantees, army action against Lashkar-e-Jhangvi and the dismissal of the provincial government - would back down.
"We will keep protesting until our demands are met," said Raja Nasir Abbas, secretary general of Majlis-e-Wahdat-ul-Muslimeen, a national body of Shi'ite groups and clerics.
Two national government ministers and three other senior officials wrote to the president and prime minister recommending that Balochistan's chief minister be fired.
Human Rights Minister Mustafa Khokhar said the head of the police and the paramilitary Frontier Corps, which has primary responsibility for security in the province, should also be replaced.
"The government has miserably failed to protect the rights of its citizens," he said.