A man accused of leading an anti-Semitic rally on the steps of Parliament House in Melbourne's CBD has turned himself into police.

About 20 people dressed in black, holding a banner displaying an anti-Semitic sign, protested on the steps of parliament about 7pm last Friday. 

The group later fled when police officers arrived at the scene. 

Following an investigation by police, a search warrant was executed at a Wantirna South home on Monday, where police say a number of items were seized.

A 29-year-old Wantirna South man handed himself in to authorities at a police station on Monday evening, where he was arrested. 

Victoria Police said the man was interviewed in relation to "grossly offensive public conduct, Racial and Religious Tolerance Act offences and offensive behaviour".

He was later released while evidence was prepared, and proposed charges were submitted to the Director of Public Prosecutions for approval.

Police say the investigation remains ongoing to identify other people involved in the CBD protest. 

Anyone with information that can assist police, or who has CCTV, or dashcam is urged to contact Crime Stoppers on 1800 333 000.