Flag-waving demonstrators carried anti-globalist and environmentalist placards such as, "No Trump, no coal, no gas, no fossil fuels" as they marched near Zurich's financial district.
Some protesters also broke through a security cordon in Davos — where protests are strictly forbidden — to demonstrate against the WEF and the U.S. president.
Trump is due arrive in Davos on Friday for a much-anticipated speech to attendees at the forum.
Police estimate that 2,000 protesters demonstrated in Zurich and hundreds marched in public squares in Geneva, Lausanne and Fribourg.
Security is conspicuous in Davos and it's meant to be, as the Swiss Alpine town hosts the annual meeting of global business and political leaders.
Soldiers and snipers patrolled the streets, and security checks take place throughout the town — on its transport routes, outside its hotels and at the forum's venues, most prominently, within the main Congress Center.
However, around 20 protesters broke through security to reach the center holding banners and shouting "Wipe out WEF." The demonstrators were peacefully disbanded by police, according to reports.
Alongside 1,000 police officers, more than 4,000 Swiss soldiers have reportedly been deployed to guard Davos. A no-fly zone is also in place over the Swiss town.
The municipality of Davos requires anyone wishing to host an event in the snow-covered ski resort to seek approval for a permit — or face a fine.
Swiss authorities had rejected permission for protesters to demonstrate against Trump in Davos because heavy snowfall had limited the space for demonstrations.
— Reuters contributed to this report.