The "Guns Across America" rallies, which activists promoted primarily via social media, also followed New York Gov. Andrew Cuomo's signing this week of the nation's toughest assault weapon and magazine restrictions.
Republican Assemblyman Steven McLaughlin told the crowd in Albany that New York's new law was an "abuse of power" by the governor.
"This is an outrage against humanity, what we're seeing," said protester Robert Candea, of Warwick, who brought his family along.
Police in Connecticut said about 1,000 people showed up on the capitol grounds in Hartford, about 50 miles from the site of last month's mass shooting at Newtown's Sandy Hook Elementary School. Demonstrators there urged state and federal authorities not to introduce new restrictions on gun ownership as task forces created by the Legislature and Connecticut Gov. Dannel Malloy consider changes to state gun laws.
Those gathered elsewhere expressed similar concern that measures being proposed in the state and national capitols after the Newtown shootings could weaken gun-possession rights they say are inviolable.
"I feel every law-abiding citizen has a right to bear arms. It's a constitutional right. Nobody should try to take that away from us," said Joe Getchell of Pittsfield, Maine, who attended a rally in Augusta rally.
Authorities reported no problems at early rallies, which remained peaceful Saturday afternoon.