They include two former mayors, Leopoldo Lopez and Daniel Ceballos, who are being held on charges of inciting anti-government protests last year.
President Nicolas Maduro has blamed them for the 43 deaths that resulted.
Both men started hunger strikes this week in jail.
The protesters were also calling for the release of the former Caracas mayor, Antonio Ledezma.
Smaller demonstrations took place in other cities.
On Friday, Venezuela blocked two former Latin American presidents from visiting Mr Lopez and Mr Ceballos.
Leopoldo Lopez has been held at the Ramo Verde military prison outside Caracas since he was arrested in February 2014 on charges of inciting the violence that led to the deaths of 43 people and wounded hundreds of Venezuelans who took to the streets.
Mr Lopez filmed a video in jail this week urging demonstrators to go out "peacefully" to demand an end to political persecution and censorship and for a date to be set for upcoming legislative elections.
President Maduro has said his country's judiciary is independent and that those in jail are criminals.

Northampton Borough Council lent money to Northampton Town FC but work on the Sixfields Stadium stalled and the club has since been taken over.
The council was in talks with the new owner about land around the ground.
Mary Markham, Tory council leader, said: "The debt is still there and we will recover [it] through the land."
The council, which owns the stadium site, made the deal with former club chairman David Cardoza so parts of the stadium could be rebuilt.
Land around Sixfields was meant to be developed for leisure by the club to fund the repayment of the loan.
Read more on this and other news from across Northamptonshire
Construction work on the East Stand halted and the club said it could not repay the loan.
The Buckingham Group, which was constructing the East Stand, said it had carried out £3m of work for which it had not been paid.
It is in talks with the club's new owner Kelvin Thomas.
Mrs Markham said: "We will do all in our power to recoup the money and pursue the people involved."
A memorandum of understanding has been agreed between the council and Mr Thomas that would see Northampton Town's debt wiped out with the council acquiring the land around Sixfields for development in return.
The football club has been asked to comment.

The retailer said its policy is for staff to speak in English to customers, irrespective of their native language.
It comes after two staff members in Scotland were banned from speaking Polish to each other on their tea break.
The store said it was to ensure all its staff and customers "felt comfortable".
"It is Lidl UK company policy that staff speak in English to customers, irrespective of their native language," the company told the BBC Welsh-language website Cymru Fyw.
"This is for the benefit of all our customers as well as our staff to ensure a comfortable environment where all feel included.
"However, it goes without saying that our staff are able to assist a customer by conversing in their native tongue, if the customer is unable to speak any English."
The Welsh Language Society (Cymdeithas yr Iaith) said the policy was "appalling".
Its chairman, Jamie Bevan, added that "since the Welsh language bill was passed four years ago, it is illegal to stop staff from speaking to customers in Welsh".
Welsh Language Commissioner Meri Huws said she will respond in due course.
The Welsh government said: "The Welsh language has official status in Wales, and there are provisions in the Welsh language measure to protect people's freedom to use the language.
"The Welsh language commissioner has the power to investigate any allegations of this and can produce reports for Welsh ministers to consider."
Thousands of Venezuelans have held a peaceful march through the streets of the capital Caracas, calling for the release of opposition leaders who have been in jail for more than a year.
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A council has said it has received a "number of offers" on land it claimed in return for an unpaid £10.25m loan for football stadium development.
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Staff at Lidl supermarkets are being stopped from speaking any language other than English in their UK stores - including Welsh.