Many of those demonstrating are members of the Catalan branch of the ICEC, a group based in Brussels that lobbies the EU to recognise European regions’ demands for self-determination.
Chanting "Wake up Europe!" and waving Catalonia's famous red, yellow and blue separatist flag, crowds marched from Montgomery to Cinquantenaire, where they held an open-air rally.
They then assembled near the European Commission headquarters before a march through the Belgian capital. Some members said they will later attend a conference with Belgian MEP Mark Demesmaeker.
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Puigdemont and four former ministers fled to Brussels in November, saying they wanted to take their cause to a European level after Spain charged them with sedition and rebellion over Catalonia's independence referendum in October.
Madrid dropped a European arrest warrant for the five on Monday but Puigdemont said he would stay put for now as they still face arrest in Spain if they return for snap regional polls in Catalonia on 21 December.
Speaking just ahead of the demonstration, he said, “For the moment we will stay here.”
Jorge Santos, who was among the protestors, told this website, “We cannot abandon our President, who is in exile here. We have come to the heart of the EU to show that we intend to continue the struggle for our independence and to ask for the freedom of our political prisoners.”
Jaume Llenas, who also joined the protest, said, “The arrest warrant may have been withdrawn but we still wanted to be here today to show solidarity for Puigdemont and his objectives.”
Further comment came from Bernard Daelemans of ICEC who, speaking of the demonstrators, said, “They want respect for democracy, to address the hypocrisy of the unelected men in Brussels, to demand the release of their political prisoners and to show that Catalonia can save the EU - not the other way around.”
The ICEC was founded in Catalonia in 2009 and grew to represent several nationalist movements, including from Scotland, the Basque country and Flanders.
Belgian police were on hand but the early stages of the protest were peaceful.
Organisers said they expected around 20,000 people to attend the march.
Puigdemont has refused to return to Spain to face criminal charges unless he receives government guarantees that the results of elections called by Madrid to wrest back control of the region would be respected.