Marine Le Pen, the daughter of the party's founder Jean-Marie Le Pen who succeeded him as its leader in January, drew applause as she took her place at the head of the march in front of Paris's grand old Opera.
"Marine for president," cried the crowd of several thousand. "Red, white, blue, France for the French!"
Recent polls showed Marine Le Pen could win the first round of France's presidential election.
She is seen as a fresh new face for the anti-immigrant party which opponents have branded racist. The party has issued instructions to members to exclude "skinheads" and those wearing "combat trousers and boots".
"The media and our opponents will not fail to analyse this first event under Marine Le Pen's presidency" of the party, said a note circulated to local party leaders.
Le Pen said separately that similar advice was also given under her father's leadership.
Those organising party trips to marches on May Day were advised "to refuse to register people wearing outlandish dress (combat trousers and boots or other skinheads)."
In 1995 a 29-year-old Moroccan man drowned in the Seine on the sidelines of the Front's May 1 march. Four people who had taken part in the march were later convicted for his death.
Marine Le Pen was due to give a speech at noon (1000 GMT) when the march winds up at a gilded statue of Joan of Arc, the 15th century saint who fought against the English and became a French national heroine.