Their actions drew condemnation from unions and Premier Daniel Andrews, who said "there is no excuse for the terrible behaviour we have seen in our city over the last two days".
"Acts of violence and disruption won't result in one less case of COVID - in fact it only helps the virus to spread," Mr Andrews said in a statement on Tuesday night, as the protest continued.
Journalist attacked during Melbourne protest
Around 500 police officers were deployed to quell the protests.
Victoria Police chief commissioner Shane Patton said police had intelligence of another protest planned for Wednesday, but implored people to stay at home or be met with a different style of police tactic.
"My message is really clear: stay away. No one benefits from this type of conduct. We will be out in force tomorrow," he told reporters on Tuesday evening.
Commissioner Patton condemned the "disgraceful conduct" of the protesters.
"Crowds like this, they're for cowards. Cowards who seek to hide their identity and conduct other activities, to do other things, that if they were by themselves they wouldn’t have the courage to do," he said.
The group, mostly men wearing hi-vis gear, started their second day of protests outside the CFMEU headquarters on Tuesday morning before moving on to parliament following warnings from the riot squad.
The crowd circled the city centre for hours before making their way to the West Gate freeway entrance just after 2pm, blocking traffic ahead of peak hour.
They walked to the top of the West Gate Bridge, singing, dancing and lighting a flare before turning around and heading back down the bridge about 3.30pm.
Earlier, the riot squad, supported by police on horseback, warned the group to stay back and fired what was believed to be rubber bullets into the crowd near the Queen Victoria Market.
Empty bottles and cans were thrown back at police.
The crowd then walked towards the police line with hands raised chanting "you serve us".
Commissioner Patton said police would be conducting "ongoing investigations" on those who attended the protest, "to hold people to account for their conduct".
Many walking with the crowd carried cans and bottles of alcohol, others wore the Australian flag as a cape, and another carried a Donald Trump 2020 flag.
Seven Network reporter Paul Dowsley said he was grabbed "around the neck" and a cameraman was thrown to the ground. He later had a can of drink thrown at his head.
"I've been grabbed around the neck today, I've had urine tipped on me, now I've had a can of energy drink thrown on me," Dowsley said in a live cross.
Earlier on Tuesday, Sally McManus, secretary of the Australian Council of Trade Unions, said there were "extremists" among those in the crowd spreading "misinformation and lies" about the vaccine to further their own ends.
"This protest has been called for, led and promoted by far-right groups and anti-vax groups and there is a big overlap between the two at the moment, unfortunately," she told ABC News.
She said a strong government public health campaign was needed to counter their messaging.
"Union leaders and the trade union movement in Australia will not be intimidated around this issue and certainly not by these people. We will not."
Anti-mandatory vaccination Melbourne protest turns violent
Commissioner Patton said it was too early to determine the composition of the crowd, but added police had obtained intelligence that construction workers and those who attended the anti-lockdown protests at the weekend would be present.
The Australian Nursing and Midwifery Federation called on the city protesters to "stop thinking only of themselves, stop the violence and put the health and welfare of the Victorian community first".
"Nurses, midwives and carers are exhausted and frustrated as they watch protesters fight for their right to overwhelm our health system," secretary Lisa Fitzpatrick said in a statement.
On Monday, riot police were called in to disperse a group of about 500 protesters, who threw bottles at Victorian CFMEU construction secretary John Setka and smashed the office's door down.
Mr Setka said the protesters were not all CFMEU members and blamed "neo-Nazis and right-wing extremists" for hijacking the event.
He said the CFMEU was "pro-vax" but had always supported freedom of choice and urged the Victorian government to tackle misinformation about COVID-19 vaccines.
On Monday night, the state government announced the construction industry would be shut down for two weeks in metropolitan Melbourne, City of Ballarat, City of Greater Geelong, Surf Coast Shire and Mitchell Shire.
All worksites will need to demonstrate compliance with health directions prior to reopening.
This includes a requirement for workers to show evidence of having had at least one dose of a vaccine before they return to work on 5 October.
Victorian Health says 403 direct cases linked to construction industry
Only critical infrastructure, including hospitals and ongoing level crossing removal works, will continue during the shutdown - giving time for the workforce to get vaccinated.
"We've been clear: if you don't follow the rules, we won't hesitate to take action. We have seen widespread non-compliance across the industry and that's why we're taking necessary steps to protect every single Victorian," Industrial Relations Minister Tim Pallas said in a statement.
"We put the industry on notice just a week ago. We have seen appalling behaviour on-site and on our streets, and now we're acting decisively and without hesitation."
There are now 403 COVID-19 cases in Victoria directly linked to construction, Health Minister Martin Foley said, from 186 work sites.
Additional reporting by AAP.