Unite for Europe campaigners marched through central London to Westminster, the scene of floral tributes to those killed and injured in Wednesday's atrocity.
Opening the event, Alastair Campbell said: "Before we talk about Brexit, before we call on any of the speakers, we need to recognise that something really bad happened not far from here just the other day."
Campaigners stood with their heads bowed for a minute-long silence on Saturday, with the only sound the chiming of Big Ben.
Between 25,000 and 100,000 demonstrators attended the event, calling for Britain to remain in the European Union - just days before Theresa May triggers Article 50 to begin the exit process on March 29.
The sunny square was filled with protesters, many draped in the European flag and waving banners aloft, including a number declaring: "We are not afraid". Another sign read: "I'm 15 I want my future back!"
Liberal Democrat leader Tim Farron addressed the crowd, insisting "democracy continues" and adding: "We stand in defiance of that attack."
Lib Dem former deputy prime minister Nick Clegg, Labour MP David Lammy and Green co-leader Jonathan Bartley were also among those addressing the crowd.
Clegg said: “It was a choice to pull us out of the customs union, it was a choice to embark on that demeaning bout of transatlantic obsequiousness.” He went on to accuse the prime minister of “threatening to turn our country into a bargain basement cowboy economy”.
Organisers refused to call off the event after the attack earlier this week, saying in a statement: "We will not be intimidated. We will stand in unity and solidarity. We will march on the heart of our democracy and reclaim our streets in honour and respect of those that fell."
The march coincides with the EU's 60th anniversary celebrations in Rome, where leaders of the other 27 member states will gather to discuss plans for the future of the union without the UK.
More than a thousand campaigners took to the street in Edinburgh in a simultaneous protest organised by the city's Young European Movement.
Marchers gathered in the city centre before heading to the Scottish Parliament, waving EU and Scottish flags and carrying placards reading "We want EU to stay" and "In business lying is a crime, why not in politics?"
Among those giving speeches were Green MSP Ross Greer, Alex Cole-Hamilton MSP from the Liberal Democrats, SNP MPs Tommy Sheppard and Joanna Cherry.
Young European Movement Edinburgh chairman Jean Francois-Poncet said the march was to protest against Brexit and commemorate 60 years of the European Union.
He said: "We want to raise the issue in British and Scottish people's lives that you have lies in the referendum campaign that people were not held accountable for and, whether you voted Remain or Leave, that is a real issue."