Police issued warnings for the demonstration to disperse and then fired tear gas to break it up, arresting around 10 people, the correspondent said.
Calais has become a hotspot of Europe's refugee crisis.
Around 3,700 migrants are living in a camp on the outskirts of the city, nicknamed the "Jungle", hoping to smuggle themselves across the Channel to Britain on lorries or trains.
Anti-Islamic group Pegida, which began as a movement in Germany in mid-2014 and has since spread to France and other European countries, has called on members and sympathizers across Europe to join marches on Saturday.
Ahead of the protest, Interior Minister Bernard Cazeneuve on Wednesday called on authorities in Calais to prevent all demonstrations "regardless of the organizers".
He said the ban particularly covered "all these groups that create tensions, division and violence" and would last as long as necessary.
Pegida, an acronym for "Patriotic Europeans Against the Islamization of the Occident," has said it expects demonstrations to take place in 14 European countries.
Also on Saturday, in a relatively rare attempt to reach England by sea, four migrants were rescued from their sinking boat in the Channel thanks to a fifth migrant who made it to shore and alerted rescuers.