Around 50 organisations held the torch-lit march on the eve of the award, arguing that the EU is undemocratic and maintains a large military even as its people suffer an economic downturn.
"Alfred Nobel said that the prize should be given those who worked for disarmament," Elsa-Britt Enger, 70, a representative of Grandmothers for Peace said. "The EU doesn't do that. It is one of the biggest weapons producers in the world."
Past prize winners Desmond Tutu, Adolfo Perez Esquivel and Mairead Maguire have also said the EU does not deserve the award. Norway's Socialist Left party, part of Prime Minister Jens Stoltenberg's Government, joined the march.
The Oslo-based Nobel peace committee gave its 2012 prize to the EU for uniting the continent following two world wars and to give it a boost as it tries to overcome its economic crisis.
"The EU brings lasting peace among former enemies who fought... among others two world wars," EU Commission President Jose Manuel Barroso said.
Mr Barroso, European Council President Herman Van Rompuy and European Parliament President Martin Schulz will accept the prize on behalf of the EU today.