Demonstrators gathered in west Kabul and walked through the rain bearing the coffins draped in green to the gates of the presidential palace, where organisers said they were planning to stage a sit-in until their demands were met by the government.
The marchers also carried pictures of the victims, including two women and one child -- a girl, whose coffin was carried by grieving women.
"This is a protest to demand justice for the victims who were so mercilessly murdered, we demand justice for people who are being brutally killed by terrorists everyday," protester Mohammad Hadi told AFP.
"We want revenge, today they kill us, tomorrow they kill you," the protesters chanted.
The circumstances surrounding the beheadings remain unclear. The bodies of the seven victims, who are believed to have been held hostage by unknown gunmen for months, were found on Saturday in Zabul province, where fighting between rival Taliban groups has escalated over recent days.
"The people are asking why the government has been indifferent towards these crimes, people are demanding the resignation of the heads of the government because they have been inefficient and corrupt and never address the demands of the people," Jawad Sultani, a university lecturer at the protests said.
"Ashraf Ghani, we want answers," a woman protestor shouted through a loudspeaker.
The protest came as the United Nations followed the Afghan government and the US in condemning the killings, suggesting they may have been a war crime.
"These senseless murders may amount to war crimes and the perpetrators must be held accountable," Nicholas Haysom, the UN's Special Representative for Afghanistan, said in a statement Wednesday.
Some local officials have attributed the macabre killings to IS sympathizers while the Taliban has also been blamed, however the government does not have control of the area and the claims could not be verified.
Afghanistan's intelligence agency on Tuesday rejected the suggestion that IS affiliates were responsible, saying that the southern province has been the scene of deadly clashes between rival Taliban factions for days.
The protesters in Kabul chanted death slogans to the Taliban and IS. Read more: