The event organisers, All Under One Banner, hailed it as the biggest march of its kind and said about 17,000 people had taken part.
It began at Kelvingrove Park in the west end of the city at 11:00 and snaked through the city centre ending up at Glasgow Green.
Marchers waved banners and saltires and heard pro-independence speeches.
All Under One Banner, an alliance of various independence-supporting organisations, said the event aimed to show Theresa May that "Scotland has spoken".
Police Scotland estimated that about 15,000 people took part in the march.
Organisers had considered cancelling the event in the wake of the Manchester bomb attack, but decided to go ahead after a review of security.
The rally began with a minute's silence for the victims
The issue of Scottish independence has featured prominently in the general election campaign.
In the wake of the vote for the UK to leave the EU, Nicola Sturgeon has argued Scotland should have the choice on what path it wishes to follow.
The UK government has said any second referendum on Scottish independence should wait until the Brexit process has been completed, with Prime Minister Theresa May repeatedly insisting "now is not the time".
Thousands of people have been marching through Glasgow in support of Scottish independence.