Opposition leader Alyaksandr Milinkevich told the crowd that Belarusians want to live by the laws of Europe, "not by the laws of dictatorship."
He added: "Belarus will be in Europe. We'll build a country that we won't be ashamed of. A free, fair, and real one," RFE/RL's Belarus Service reported.
Several other opposition leaders participated in the march, which took place without incident.
Marchers carried hundreds of blue EU flags along with the white-red-white striped flag that was the first Belarusian flag after the breakup of the Soviet Union and is championed by the opposition as the flag of a democratic Belarus.
Reuters quotes oppposition activist Yulia Kotskaya as saying police had detained more than 30 opposition supporters in the run-up to the demonstration. Others reported being unable to leave their homes as police blocked the entrances.
(RFE/RL's Belarus Service/AP/Reuters)