He was in the area to "support" his deputy leader Jayda Fransen, who is appearing in court on Thursday to answer accusations of hate speech related to the same rally.
Fransen has released a video saying Golding was arrested on "the same trumped-up charges they lifted me for" but didn't give further details.
Jayda Fransen, 31, of Beeches Close, Anerley, London, was in court over two charges relating to behaviour meant to or likely to stir up hatred.
The police confirmed that they had arrested a 35-year-old man as part of their investigation into the "Northern Ireland Against Terrorism" rally in August.
Jayda Fransen, from Anerley in south-east London, has been charged with using words which were threatening, abusive or insulting during a speech in Belfast in the summer.
Detectives from the Police Service of Northern Ireland (PSNI) also detained the leader of the group, Paul Golding, who was there supporting his colleague.
Ms Fransen, whose anti-Islamic social media posts were retweeted by US President Donald Trump in November, appeared in the dock at Belfast Magistrate's Court on Thursday.
However, a judge did not impose restrictions on her use of social media. - despite concerns raised by police.
"The detective I spoke to told me she is being flown to Belfast tonight to be interrogated".
She shot another anti-Muslim video in Belfast and posted it online on Wednesday. The detective claimed that a "Free Speech for Jayda" rally was planned to take place in Belfast last weekend and was only postponed due to snow.
The case was adjourned until later on Thursday in order to assess information.
She has been taken to Belfast city centre police station for questioning.