Chiara de Blasio was arrested about 10:30 p.m. Saturday for unlawful assembly.
The 25-year-old was one of about 100 people who refused to leave the roadway when advised by police.
She was given a desk appearance ticket.
The mayor spoke about his daughter's arrest Monday morning saying, "She's 25 years old she did not inform Chirlane and I of her intention to get arrested."
Her father said he didn't learn of her arrest until media reports emerged Sunday. He said his daughter told him she didn't do anything wrong.
"She was very clear that she believed she was following the instructions of police officers and doing what they were asking... absolutely, she was abundantly clear she was peacefully protesting, not doing anything that would provoke a negative response," he said at a media briefing, adding that he admired her for peacefully "trying to change something that she thought was unjust."
Although the arrest was a shock to Mayor de Blasio and his wife, "I want to tell her how much I love and respect and admire her."
When asked by Eyewitness News if he thought his daughter did anything wrong, the mayor said emphatically, "No."
Largely peaceful George Floyd protests around the city on Saturday gave way to scattered clashes between police and protesters later in the evening.
Demonstrators smashed shop windows, threw objects at officers, torched and battered police vehicles and blocked roads.
The mayor blamed much of the violence on a small group of well-organized "anarchists."
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