Many protest signs specifically focussed on May's role in the Brexit negotiations.
Speaking at a rally concluding the march, Yaxley-Lennon noted that his focus remained anti-Islam, but he felt this was aligned with the pro-Brexit movement.
An anti-Brexit demonstration also took place in London on Sunday.
The counterprotest, which was attended by a number of activist groups supporting immigration, specifically stood against the anti-immigration message pushed by the "Brexit Betrayal" march.