Thousands of unionists and taxi drivers took to Melbourne's streets on Thursday in separate protests over their pay and working conditions.

The unionists blocked several city streets as they protested against the Federal government's new tough building code, the reintroduction of the Australian Building and Construction Commission and planned penalty rate cuts.

Led by the Construction, Forestry, Mining and Energy Union, the rally began at Trades Hall in Carlton before marching to the Liberal Party headquarters on Exhibition Street.

The Victorian government announced an inquiry into the penalty rates cuts, as the workers rallied.