Women in the team, which is recognised by Fifa, say football has given them freedom and independence.
Zahra Joya says her experience under the Taliban convinced her to fight for women's rights.
The demonstration, in the western city of Herat, was broken up after police are alleged to have opened fire.
Nearly five years on from Afghanistan's school ban, young women say they have waved goodbye to their dreams.
Khadija Ahmadzada was detained for being in "violation" of rules "regarding women's sports gyms", a Taliban spokesman said.
Médecins Sans Frontières (MSF) says each restriction "translates into delayed or denied medical care".
Roya Karimi is getting ready to compete in the world bodybuilding championships, 15 years after fleeing Afghanistan.
Since settling in North Yorkshire, Nahid Hamidi has set up a pop-up restaurant and helps other refugees.
It comes just over a week after a two-day total internet shutdown across the country ended.
