The march left Kelvingrove Park in the west of the city and headed through the centre to Glasgow Green.
Organiser Neil Mackay said the march had been a rally of ordinary Scots and not political parties.
Speaking at Glasgow Green, former socialist MSP Tommy Sheridan told the crowd they were "an army that had not been defeated".
He said: "This army may have had the odd casualty, it may have shed some tears on 19 September, but this army will never give in.
"This army will keep marching until we deliver Scotland's freedom."
Last September's referendum resulted in a No vote against independence but the SNP's runaway success at the recent general election has led to calls for a second vote.
Unionist opponents have voiced concerns that another SNP landslide at the Scottish Parliament election next year could be seen as a mandate for a second vote.
Earlier this week, UK Prime Minister David Cameron refused to consider another independence referendum and indicated that any decision by the Scottish government to unilaterally decide to hold one would not be legitimate.
Scotland's First Minister Nicola Sturgeon responded by saying, "no politician has the right to stand in the way" of another independence referendum.
Mr Sheridan told the independence rally in Glasgow that the Tory prime minister had "no democratic mandate to rule our country."
He said Mr Cameron will not decide the next referendum date, "the people of Scotland will".
Hundreds of people have marched across Glasgow in a call for Scottish independence "as soon as possible".