The leader of the far-right Golden Dawn party, Nikolaos Michaloliakos, has been formally charged with belonging to a criminal organisation.
Four more Golden Dawn MPs and 15 other party members who face the same charges have spent the night in jail.
Police said they found weapons, ammunition and thousands of euros in cash at Mr Michaloliakos's home.
The 20 were arrested on Saturday amid anger over the murder on 18 September of anti-racist musician, Pavlos Fyssas.
A man held for the stabbing told police he was a Golden Dawn supporter, though the party strongly denies any link.
'Shame on them'
The MPs arrested on Saturday were party spokesman Ilias Kasidiaris, Ilias Panayiotaros, Nikos Michos and Ioannis Lagos. It is the first time since 1974 that a party leader and MPs have been arrested.
It was an extraordinary moment to see the five MPs being escorted in handcuffs by armed police in balaclavas, BBC Athens correspondent Mark Lowen reports.
Justice ministry officials will now have to decide whether to keep the suspects in custody until any trial, our correspondent says.
Mr Panayiotaros told reporters before giving himself up: "Shame on them, the people will lift Golden Dawn higher."
A number of other warrants are believed to have been issued. The arrests were made by the anti-terrorism unit.
Golden Dawn issued a rallying call via a text message, saying: "We call upon everyone to support our moral and just struggle against the corrupt system!"
Its call for members to gather outside the police headquarters in Athens was answered by some 200 supporters who chanted slogans and waved Greek flags.
Makis Voridis, a politician with the governing New Democracy Party, told the BBC's Newshour that the police had made the right decision on the arrests.
He said: "This is an alleged party. It is actually, as the justice system has said, a criminal organisation... members of a legal, political, parliamentary party, do not participate in homicides."
Resignations and suspensions
The killing of Pavlos Fyssas, 34 - whose stage name was Killah P - had sparked protests in Athens and across Greece.
George Roupakias, 45, who said he was a supporter of Golden Dawn, was arrested. He was charged with voluntary manslaughter and illegal possession of a weapon.
The government then launched a crackdown, including raids on Golden Dawn premises.
Two senior police officials resigned for "personal reasons" after the killing and another two were suspended. Seven other police officers were suspended.
Greek police also arrested one of their own colleagues who was reportedly working as a bodyguard for the party, during a raid on its offices in the western town of Agrinio on Tuesday.
The government also began an inquiry into the activities of Golden Dawn, which won nearly 7% of the vote in 2012 elections.
Prime Minister Antonis Samaras has vowed not to let the party "undermine" democracy, and government officials say it must now be treated as a "criminal organisation".
Golden Dawn has accused the government of carrying out a witch-hunt over the Fyssas killing.
Mr Michaloliakos, 56, said last week: "We will exhaust any means within our legal constitutional rights to defend our political honour. If the country enters a cycle of instability, it is those who demonise Golden Dawn who will be responsible."
On Friday, Golden Dawn threatened to pull its 18 MPs out of the 300-strong Hellenic Parliament.
Mr Samaras's coalition, which has 155 seats, would then face by-elections.
Our correspondent, Mark Lowen, says if Golden Dawn does pull out its MPs it could be the beginning of the end of any political representation for the party in the future.
In recent months, Golden Dawn has been accused of perpetrating attacks on migrants and political opponents - including an attack on Communist Party members earlier this month which is said to have left nine people in hospital.
Golden Dawn officially denies being a neo-Nazi movement, though its badge resembles a swastika, some senior members have praised Adolf Hitler, and its members wear black T-shirts and combat trousers at anti-immigrant demonstrations.