Rex Tillerson said in Seoul Friday that the United States and South Korea would "proceed with the installation" of the system, known as Terminal High Altitude Area Defense (THAAD).
Residents of Seongju county - where the system will be deployed - say it poses health and environmental hazards and argue that its presence could make them a priority target for North Korea.
About 2,000 residents of Seongju and a neighbouring county, 275 kilometres (170 miles) southeast of Seoul, rallied with banners reading: "No THAAD but peace".
Some 2,000 riot police were mobilised to maintain order at the march and stop protesters reaching the installation site.
Washington and Seoul say the system is for purely defensive purposes, but China fears it could undermine its own nuclear deterrent and has reacted with fury, imposing a series of measures seen as economic retaliation on the South.
North Korea has a long-standing ambition to become a nuclear power and has conducted several atomic tests in defiance of the international community and UN sanctions.
Earlier this month, Pyongyang test fired a salvo of missiles that fell in waters off Japan.
On his visit to Seoul, Tillerson - who is now in Beijing - held talks on North Korea's missile and nuclear threats with foreign minister Yun Byung-Se and acting Prime Minister Hwang Kyo-Ahn.
"It's my expectation that the new government in South Korea will continue to be supportive of the THAAD system, because it is directed solely at the defense" of the country, Tillery told journalists after the meeting.
