The campaigners waved giant blue Scotland flags and sported kilts as they congregated in a park near the Scottish Parliament building.
The Scottish National Party (SNP), which backs secession from the UK and has almost half the seats in the country's devolved parliament, starts its annual conference on Sunday.
A Reuters journalist at the march estimated there were several tens of thousands of people present. There were a handful of pro-union counter-protesters waving British flags.
Scots voted to stay in the European Union in 2016 by a large margin, but Britain as a whole voted to leave. The Brexit process has since put Scotland's devolved nationalist government increasingly at loggerheads with the UK's Conservative leadership.
Scotland rejected independence by a 10 percentage point margin in a 2014 referendum.
Most polls show public support for Scottish independence from the UK stuck at the same 45 percent level it has been since the 2014 vote, although a recent poll showed backing for a split from the UK has ticked up in a sign of discontent over Brexit.
