The protesters marched with Catalan red and yellow flags, carrying posters saying "Europe, wake up!"
"We can not abandon our president, who is in exile here", Antoni Llenas, 59, a protester wearing a flag over his shoulders, told AFP. The rally began peacefully, according to reporters on the scene.
Puigdemont to stay in Belgium for time being
Former Catalan leader Carles Puigdemont on Wednesday said he and four of his ex-cabinet members plan to remain in Belgium "for the moment" after Spain dropped an worldwide warrant for his arrest on Tuesday.
Protesters arrived in a stream of coaches and camper vans with Spanish registration plates and gathered in the Cinquantenaire Park in Brussels' European quarter before the start of the march at 1030 GMT, (6:30pm Malaysia time).
Puigdemont faces charges of sedition, rebellion, misuse of public funds and disobedience in Spain, though the charges were brought against him after he fled to Belgium along with four of his Cabinet ministers.
Their route will take them past the headquarters of the European Commission and end up in a square between the European Council and European Parliament, the three main EU institutions.
Nuria Salvat, a student from Tarragona in Catalonia, said she had come to demand freedom for "political prisoners" - members of Puigdemont's administration held in jail in Spain - and to support Puigdemont himself, who faces jail if he returns.
Tens of thousands of people took to the streets of Brussels on Thursday to show their support for Catalan independence, weeks ahead of a regional election that would see it regaining autonomy from the Spanish government. "Can we move around the European Union without fear?"