Navalny had called for the marches after publishing a detailed report this month accusing Prime Minister Dmitry Medvedev of controlling a property empire through a shadowy network of nonprofit organisations.
The report has been viewed over 11 million times on YouTube, but so far Medvedev has made no comment on the claims.
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Police detained Navalny, who has announced plans to run for president in the 2018 election, as he was walking to the protest, putting him in a police minibus.
The crowd briefly tried to block it from driving off, shouting "Shame!" and "Let him out!"
"Guys, I am all right, go on along Tverskaya," Navalny tweeted from the van.
Police said about 500 people had been arrested in Moscow, while OVD-Info, a website that monitors the detention of activists, said at least 700 had been detained, as well as dozens in other cities.
A spokeswoman for Navalny's Anti-corruption Foundation (FBK) said on Twitter than he would be held overnight before being brought before a judge tomorrow.
Thousands of people filled central Pushkin Square, some shouting "Russia without Putin", referring to President Vladimir Putin. Some climbed on to lamp posts and the monument to poet Alexander Pushkin, shouting "impeachment!"
Dozens of police vans and rows of riot officers were lined up as a police helicopter hovered overhead.
"We have all seen the movie, it gives specific examples of corruption, and there has been no reaction," Nikolai Moisey, a 26-year-old factory worker, said of the claims against Medvedev.
"They steal and they lie but still people will be patient to the end. The protest is a first push for people to start acting."
Police officers moved to detain protesters and clear the square, with some using truncheons and pepper spray to disperse the crowd, AFP correspondents said.
Police also searched FBK offices over alleged incitement to hatred, and "Everyone was detained and brought to the police," the organisation's spokeswoman Kira Iarmych said.
Despite the dramatic scenes in Moscow, state TV did not cover the protests, instead showing soap operas and nature films.
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