An estimated 30,000 Malaysians – mostly from the majority Malay community - took to the streets of the capital in a shown of support for Malay supremacy and Malaysia's scandal-plagued government, inflaming ethnic tensions in the multi-racial country.

Three police officers received minor injuries during clashes with the red-shirted demonstrators who also denounced opposition party leaders.

Malaysia's embattled Prime Minister Najib Razak, who approved the rally, ordered an investigation into the clashes.

Mr Najib is under intense pressure to resign over allegations of graft and mismanagement in state investment fund 1Malaysia Development Berhad, which he oversees.

The fund is billions of dollars in debt.

Before the rally senior political figures and opposition parties had warned it could lead to violence in the country that saw deadly race riots in 1969.

Deputy Prime Minister Ahmad Zahid Hamidi ordered protesters not to display banners or posters that touched on racial sensitivities and to avoid racial slurs, but hundreds of demonstrators ignored him.

There were no arrests.

Organisers said they staged the rally to counter an anti-Najib protest in the capital on August 29 and 30 by the Bersih [clean] movement, which was one of the biggest demonstrations in Malaysia's history.

UMNO Information Chief Ahmad Maslantold Wednesday's crowd that "our struggle is for the Malay race but we still respect other races", before leading chants of "long live Najib" and "long live Malays".

After initially saying the rally was for "Malay dignity", organisers changed the theme to a rally for "Citizens' Unity" following fierce criticism, including from within the United Malays National Organisation (UMNO), the party which has ruled the country for six decades.

The ideology of Malay supremacy has underpinned UMNO's rule with a vast system of institutionalised preferences for Malays, the majority of the population, which grants them economic and other privileges over ethnic Chinese, Indians and other minorities.

Critics of the affirmative action program say it became a means to cement the party's political support among Malays while producing dubious economic results.

Opposition figure Anwar Ibrahim, who is serving a jail sentence for what he says are trumped-up sodomy charges, had pledged to dismantle the system had he won the elections in 2013.

Tengku Razaleigh Hamzah, an elder statesman in UMNO who played a pivotal role in Malaysia's economy in the 1970s and 1980s, questioned the motivation for the rally.

"You have got the government that is headed by a Malay, state governments headed by Malays, with the exception of one in Penang, the civil service is mostly Malays," he said.

"The army is mostly Malays and we also have Malay rulers. I don't know where the threat is coming from," he said.

Veteran former prime minister Mahathir Mohamad, who has been relentlessly campaigning for Mr Najib to step down, denounced the rally taking place on the same day as the founding of the Malaysian federation in 1963 is commemorated.

Mr Najib has been fighting for his political life since reports surfaced that $US700 million ($973 million) had mysteriously turned up in his private bank accounts in 2013.

The prime minister has denied any wrongdoing, saying he has never taken funds for personal gain, but has not explained where the money came from.

Mr Najib's government has sidelined investigations into 1Malaysia Development Berhad, but other investigations are underway in Switzerland, Hong Kong and the United Arab Emirates.

Follow FairfaxForeign on Twitter

Follow FairfaxForeign on Facebook