The video, released online by the group on Tuesday, purportedly shows Lieutenant Muath al-Kaseasbeh being burned alive in a cage.
Riot police prevented the protesters - who were chanting anti-ISIS group slogans - from reaching the palace.
People gathered outside al-Kaseasbeh's family home in Karak after a Jordanian military spokesperson confirmed his death on Tuesday.
The 26-year-old fell into the hands of the militants in December when his F-16 crashed near Raqqa, Syria, the de facto capital of the group's self-styled caliphate.
Jordanian TV said the pilot was killed as long ago as 3 January. In the past week, the militants had not responded to demands by Jordanian authorities to deliver proof the airman was alive so a prisoner swap could be made.