Video then showed a man throwing another object from a construction site bin, before being bundled away by people in high-viz vests.
He ran off but was detained by police.
Mr Farage said he believed he was targeted by wet cement and a coffee cup.
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“My huge thanks to South Yorkshire Police today,” he wrote on X.
“I will not be bullied or cowed by a violent left-wing mob who hate our country.”
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Police said a 28-year-old had been arrested on suspicion of public order offences and believe the suspect threw objects from a “nearby construction area”.