Catalan leaders held an independence referendum one week ago in a divisive and controversial poll that Madrid slammed as illegal.
The Catalan leaders claimed that 90% of voters were in favor of seceding from Spain. Those numbers are unlikely to be representative of true public opinion, as supporters of remaining in Spain may have considered voting illegal and abstained.
A week of protests have nonetheless shown a bitter division.
Massive crowds have taken to the streets to rally for independence since the vote a week ago. But there have also been large crowds against separation, including in Madrid, as well as protests calling for dialogue.
The march was organized by the Societat Civil Catalana, which is supported by political parties in Madrid and which called on people from all over the country to attend the march.
It wasn't clear how many people might have come in from other cities. CNN spoke to several protesters, all of whom were Catalan.
In a sea of red-and-yellow Spanish and Catalan flags, protesters sent a clear message, shouting: "Catalonia is Spain."
Jose Francisco Sanchez, 38, said that he rejected the vote and didn't cast a ballot himself because he saw the referendum as illegal.
"I am not worried because I believe in the laws of Spain and the laws of Europe. Because if there are no laws, there is no democracy," Sanchez, draped in a Spanish flag, told CNN.
He said that if Catalan leaders declared independence in the coming days, he hoped the police and army intervene.
Madrid and Prime Minister Mariano Rajoy were widely criticised after police used force to try and shut down the vote, firing rubber bullets at protesters and pulling voters out of polling stations.
Alba Sebastian, 29, said she was worried that splitting from Spain would lead to an exodus and hurt the economy.
"I listen (to) the opinions of people, and they say this, that if they declare independence they will go (somewhere else) in Spain," she told CNN, adding that she wanted more dialogue between Barcelona and Madrid.
She said she felt no reason to have to decide whether she was Catalan or Spanish.
"I live in Catalonia, I speak Catalan, and I am Spanish," she said.