Nine videos were released on Friday, showing the confrontation that led to O'Neal's killing.
Police say O'Neal had been suspected of stealing a car.
He died of a gunshot wound to the back. He was unarmed.
Protesters describe the horror they felt watching the video.
“The worst part is when I saw the police put his foot on the young man’s leg and he took his head and he yanked it up and shoved his head in the pavement. That’s what I saw and it was really, really, really hurting,” said protester Carolyn Ruff.
Chicago Police Superintendent Eddie Johnson held a news conference on Friday, just hours after the video was released.
“I will not characterize anything that I’m disappointed, it just goes back to us making sure we train our officers appropriately on how to respond to incidents,” Johnson said.
A march and rally is scheduled for Millennium Park today.