Hundreds of people dressed in glow sticks and rainbow colours danced to Beyonce, Whitney Houston and The Bee Gees.
They took to the streets at Mr Pence's temporary home near Washington DC.
He will be sworn in as US vice-president on Friday.
They may have been protesting, but the mood on Wednesday night was celebratory, with dancers of all ages dressed in tutus, gold jumpsuits and wearing face paint.
Mr Pence's previous record on LGBT issues mean that many within that community aren't happy about him becoming the second most powerful man in the US.
