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.
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.