Brown, who streamed part of the march live via his Instagram account, marched with a megaphone while holding a sign that said, "I Can't Breathe", a reference to Floyd, a 46-year-old black man who pleaded he could not breathe while a Minnesota police officer knelt on his neck.
Floyd's death on Monday has sparked protests against police brutality in cities across the United States.
"I drove 15 hours to get to Georgia, my community," Brown said in an Instagram video.
"Being a celebrity, being an NBA player doesn't exclude me from no conversation at all. First and foremost, I'm a black man and I'm a member of this community. … We're raising awareness for some of the injustices that we've been seeing. It's not OK."
Minnesota Timberwolves star Karl-Anthony Towns, team-mate Josh Okogie and former NBA player Stephen Jackson, a long-time friend of Floyd’s, took part in a demonstration on Friday in Minneapolis.