About 300 Jews went to Jasenovac a week ahead of the official ceremony.
Jewish association chief Ognjen Kraus said the snub was a warning to the new centre-right government, which took power in January.
Tens of thousands died at the camp known as the "Croatian Auschwitz".
Ethnic Serbs and anti-fascist groups are also boycotting next week's official ceremony.
The death camp - whose victims included Jews, Serbs and Gypsies - operated under the Ustashe regime, which ran Croatia as a Nazi puppet state.
However, activists say some Croatians see the Ustashe as the country's founding fathers and play down their crimes.
"This is an avalanche that has been rolling for more than a year," said Mr Kraus, president of the Co-ordinating Committee of the Jewish Communities.
In January, ultra-nationalists shouted pro-Nazi slogans at a rally attended by thousands of people, including Deputy Parliamentary Speaker Ivan Tepes.
Similar slogans were also chanted during a football match between Israel and Croatia in March, attended by Prime Minister Tihomir Oreskovic.
Three-quarters of about 40,000 Croatian Jews were killed by the Ustashe and Jews now make up less than 1% of the population.

In an interview marking five years as first minister, Carwyn Jones said people accepted Welsh ministers were not "miracle workers" on NHS matters.
He said Labour had "kept our promises" on health and other issues.
But a Conservative spokesman said the "greatest threat" to Welsh public services was an Ed Miliband government.
Discussing austerity, Mr Jones told BBC Wales: "If we see the Tory plans, we are going to have this until 2020.
"I do not know what the NHS in Wales would look like by 2020, or the education services, if we see those levels of cuts.
"We are just not going to be able to do what we all want to do, so I hope things will change or at least there will be hope in 2015."
In relation to problems in the NHS, he said: "If you are straight with people and say 'look there are problems in some parts of the NHS, money is not there as it was five or six years ago', they accept that.
"They know you are not miracle workers.
"But what you say to people is, we have prioritised those areas we think are important and also, of course, we have kept our promises on health and other areas," Mr Jones added.
A Welsh Conservative spokesman responded: "The greatest threat to Welsh public services is an Ed Miliband government increasing spending and borrowing, leading to crippling interest payments on the national debt, which would significantly reduce the money available to invest in schools and hospitals."
Croatian Jews have held their own Holocaust commemoration at a World War Two death camp, in protest at what they say is government inaction in the face of surging neo-Nazi sentiment.
[NEXT_CONCEPT]
It is not known what the state of the NHS or education in Wales will be 2020 if the Conservatives win the general election, the first minister said.