He said he understands why many black Americans do not trust police, recalling how he was repeatedly stopped by officers who seemed to target him because of his race.
Mr Holder spoke during a visit to the St Louis suburb that has been hit by more than a week of unrest since the August 9 shooting of Michael Brown.
The Obama administration intended the trip to underscore its commitment to civil rights.
The attorney general remembered how he was stopped twice on a New Jersey highway and accused of speeding.
Police searched his car, going through the boot and looking under the seats.
He also met officials who are investigating Mr Brown's death, the teenager's parents and Highway Patrol Captain Ron Johnson who is the person in charge of security in Ferguson.