The demonstration took place while former leader of the Catalan parliament Carles Puigdemont remains in Brussels, despite a European warrant being lifted for his arrest earlier this week.
Before Carles Puigdemont addressed the crowd, many draped in Catalan flags, police estimated its size at 45,000.
On Monday, Spanish Supreme Court Judge Pablo Llarena upheld the jailing of former Catalan Vice President Oriol Junqueras and former Regional Interior Minister Joaqium Forn, as well as the leaders of two Catalan grassroots separatist groups, who had been sent to prison pending an investigation into the independence campaign. "Maybe we are democrats".
The 28-nation European Union has so far strongly backed the Spanish government of Prime Minister Mariano Rajoy over the biggest political crisis to hit the country for decades, saying the Catalan issue is an internal matter for Madrid.
On Monday, the Spanish government dropped a European arrest warrant for the five, but Puigdemont said he would stay put for now as they still face arrest in Spain if they return for regional polls in Catalonia that Madrid has called for December 21.
Despite the move, the judge said Puigdemont, Antoni Comin, Lluis Puig, Meritxell Serret and Clara Ponsati still faced possible charges for sedition and rebellion, the BBC reported.
Brexit deal reached following late-night negotiations on Irish border
She must also convince her divided Conservative Party that the deal she makes is acceptable. A new round of talks between Brussels and London is relatively Brexit is expected today.
Puigdemont said on Wednesday he would remain in Belgium for the time being.
"It is a loudspeaker so that people can know that we really don't have a 100 percent democracy in Spain and that Catalonia has always been subjected to problems with Spain".
At the European Union executive's headquarters, Juncker's deputy Frans Timmermans told reporters he welcomed the "very positive atmosphere" of the demonstration, which took place as campaigning has got under way for a Catalan election which Madrid hopes can end the deadlock created by its refusal to recognize an independence vote Puigdemont held in September.
The central government hopes the elections will usher in a new administration that favors unity with Spain.
He accused Puigdemont and his allies of undermining the rule of law by choosing to ignore a Spanish constitutional ban on secession rather than trying to change the constitution.