The Unite for Europe march in London coincided with events to mark 60 years since the EU's founding agreement, the Treaty of Rome, was signed.
A minute's silence to remember the victims of the Westminster attack was held ahead of speeches at a rally in Parliament Square.
Prime Minister Theresa May will trigger the exit process from the EU next week.
A minute's silence for the victims of last Wednesday's attack came after organisers refused to call off the event, saying "we will not be intimidated... We will march on the heart of our democracy and reclaim our streets."
Ex-Labour spin doctor Alistair Campbell told the crowd beforehand "we need to recognise that something really bad happened not far from here just the other day".
Lib Dem leader Tim Farron, Labour MP David Lammy and Green co-leader Jonathan Bartley were also among those who addressed the crowd.
Mr Farron said: "Democracy continues... We stand in defiance of that attack."
One marcher, Jaqueline Skelton, told the BBC she had joined the demonstration because she was "really, really frightened" about leaving the EU.
But onlooker Mike McKenna, who voted to leave, said it would be better for the nation to unite before talks with the EU begin, "not stamp your feet and have hissy fits".
Brexit Secretary David Davis has described the upcoming talks to leave the EU as "the threshold of the most important negotiation for this country for a generation".
Tens of thousands of people joined an anti-Brexit march to call for Britain to remain in the European Union.