Police presence was high in the capital, with many roads blocked off and fire-trucks with water cannons stationed near barbed-wire barricades behind which dozens of police in riot gear werepositioned.
"The aim of the march is the establishment of an independent committee to investigate irregularities," said opposition lawmaker-elect Mu Sochua.
"We are determined to find truth and justice for the voters ... Wecannot take our seats in parliament until this is resolved," she added.
Both the opposition Cambodia National Rescue Party and incumbent Prime Minister Hun Sen's long-ruling Cambodian People's Party claim to have won the ballot, which, while more closely contested than ever before, gave the official win to the CPP with 68 parliamentary seats to the CNRP's 55.
The opposition, led by Sam Rainsy, has alleged massive electoral fraud and claims to have won the vote.
For several weekends the CNRP have staged mass protests, drawing tens of thousands to peaceful assemblies at a central park in Phnom Penh.
Sunday was the first time protesters had left the park and marched through the streets calling for an independent investigation into election irregularities.
Led by Rainsy, dozens of protesters marched down a central street,going through a police barricade with authorities putting up little resistance. They then continued on to a Buddhist shrine where they lit incense and prayed for justice.
On Monday, both parties are scheduled to meet to discuss the political impasse and try and agree on a solution before parliamentis due to convene on September 23.
If no investigation is forthcoming, the CNRP have said they will boycott parliament, with Hun Sen threatening to give away their seats if they do so.
The protesters plan to camp in the park overnight Sunday and continue their sit-in on Monday and Tuesday.