Earlier, police detained protest leaders Sergei Udaltsov and Alexei Navalny, along with other prominent opposition figures including Ilya Yashin and Ksenia Sobchak, a glamorous TV personality.
"They fear their citizens, they fear their people. But you can't forbid the people (from coming)," Udaltsov said shortly before he was bundled into a police van.
One person who braved frigid temperatures of minus 15 Celsius (5 degrees Fahrenheit) and the threat of huge fines to come to Saturday's gathering was 67-year-old Andrei Lyakhov, a retired physicist.
"At a minimum, the government will understand that there is some kind of opposition," he said about why he came.
Lyakhov noted that the protest mood of the past year had put pressure on nominal opposition parties in Russia's parliament to criticize the dominant Kremlin party, producing some of the most contentious debates in years. "This pressure on the government, even if we don't succeed in changing the government, this pressure will force it to do something," he said.
The goal, Lyakhov said, is a real democracy that allows a change of leadership. Putin, whose term runs through 2018, has already been in power for nearly 13 years.
Jim Heintz, Max Seddon and Laura Mills contributed to this story.