Four people were arrested overnight as demonstrators marched through the city.
The protests were not as widespread or as tense as Tuesday night, which began moments after police released the dashcam video showing the incident.
Mr Obama said on Facebook: "Like many Americans, I was deeply disturbed by the footage of the fatal shooting of 17-year-old Laquan McDonald.
"This Thanksgiving, I ask everybody to keep those who've suffered tragic loss in our thoughts and prayers, and to be thankful for the overwhelming majority of men and women in uniform who protect our communities with honour."
McDonald was stopped by police in October 2014 after reports that he had been walking in the road and slashing car tyres.
The video shows him holding a knife when the police cars arrive and Mr Van Dyke emerges from his car. Within seconds, he shoots the teenager.