The rallies were held in Aali, al-Bilad al-Qadim and al-Ma’amir towns on Saturday, the website of the February 14 Youths Coalition reported.
The protesters also condemned Bahraini regime attacks on Ashura mourning ceremonies late last month.
Ayatollah Nimr, who has been in detention since July 2012, has been sentenced to death by a Saudi court.
Saudi Arabia’s Court of Appeals and Supreme Court have approved the death sentence handed to the senior Shia cleric.
According to some media outlets, the death sentence has been referred to the interior ministry and then the king’s office for the final go-ahead.
Nimr’s lawyer, Sadeq al-Jubran, says Nimr could be executed as soon as the Saudi monarch approves his sentence.