The marchers carried banners reading: "We are Russia" and "Putin is our president", said an AFP reporter on the scene who estimated the size of the crowd.
Authorities said 75,000 people took part.
They appeared to be mainly public sector workers celebrating Labour Day, the reporter said.
Crimea was absorbed by Russia in March after Russian forces were deployed to ensure a disputed referendum that resulted in 97 percent of ballots backing Moscow rule.
The east of the country is in the grip of a separatist movement that has seen pro-Moscow rebels seize official buildings in more than a dozen towns and cities, sometimes using force.
In the port city of Sevastopol, home to Russia's Black Sea fleet, some 8,000 people took part in the May Day march, according to authorities.
Putin and Prime Minister Dmitry Medvedev are likely to make a rare joint trip to Crimea for a May 9 military parade marking victory in World War II in Sevastopol, Russian media have reported.
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