The March for Europe aimed to put pressure on the government to delay activating the formal Article 50 process of leaving the EU.
Those addressing march included human rights campaigner Peter Tatchell, left-wing columnist Owen Jones and comedian Eddie Izzard.
Pro-Brexit demonstrators also gathered in the capital to form a counter-protest along the marching route.
Rallies are taking place across the UK including in Edinburgh and Birmingham. A sea of blue EU flags filled Parliament square shortly after 13:00 BST, where protesters sang along to The Beatles' hit Hey Jude, replacing the title words instead with "EU". Demonstrators were calling for the government to make tight economic, cultural, and social ties with the rest of Europe.
An online petition garnered more than four million signatures after the vote to leave the EU in June, but an official government response to the campaign said the Brexit decision "must be respected".
A man was wrestled to the floor by police after snatching Mr Izzard's trademark pink beret when grappling with him in the street.
Mr Izzard pursued the man and retrieved his beret. A man was later arrested.
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