Scuffles broke out between Mr Zuma’s supporters and opponents, resulting in all speeches being cancelled.
The main labour federation, Cosatu, called on Mr Zuma to step down last month after he sacked his widely respected finance minister.
Mr Zuma’s allies say he will remain in office until his term ends in 2019.
He was seen on live television hastily leaving the podium and being whisked away in a motorcade from the rally in Bloemfontein city, Reuters news agency reports.
Mr Zuma attended the rally despite the fact that powerful affiliates of Cosatu, the Congress of South African Trade Unions, had opposed his presence.
Cosatu is part of a formal alliance with the governing African National Congress (ANC).
Earlier, sections of the crowd sang a song which, loosely translated, means: “Have you heard the good news? Zuma is going”, South Africa’s privately owned News24 site reports.
Cosatu leader Sdumo Dlamini said the rally had been marred by “chaos”, forcing its cancellation.
The protest required “thorough reflection” on the part of the country’s leaders, he said.
Senior ANC officials were also booed at a May Day rally in Durban city, the political heartland of Mr Zuma.
Pressure on Mr Zuma to resign has been mounting since he sacked Pravin Gordhan as finance minister in March.
It led to global rating agencies downgrading South Africa to junk status.
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