The protestors -- who marched behind a banner calling "For liberty, for rights for every person" -- included union activists, left-wing independence militants and nationalist parties.
Judge Baltasar Garzon ordered on Friday the detention of the former spokesman of Batasuna, Arnaldo Otegi, held along with four others.
Garzon accused them of "belonging to a terrorist organisation" and seeking to rebuild Batasuna on the orders of ETA.
Interior Minister Alfredo Perez Rubalcaba said documents proved that the suspects "followed ETA directives."
"This is not an invention by Judge Garzon," he told Cadena Ser radio. "They develop ETA's political-military strategy and this is why they are going to prison."
Rubalcaba also criticised the centre-right Basque Nationalist Party, saying that by participating in the protest it was "defending the political-military strategy decided by ETA."
Batasuna was banned in 2003 because of its supposed links with ETA, which is held responsible for 828 deaths in a 41-year campaign for independence for the Basque Country of northern Spain and southwestern France.
In mid-2007 ETA called off a 15-month-old ceasefire following a deadlock in tentative peace talks with the Spain's central government in Madrid.
Since then Prime Minister Jose Luis Rodriguez Zapatero's Socialist government has taken a hard line against it, repeatedly ruling out new negotiations while a string of operations by Spanish and French police have weakened ETA's leadership.
-------------------------------------------------------------------------------------------------------------------------------------