The pro-independence campaign "Yes Scotland" estimated that 20,000 supporters joined the march, turning the city centre into a sea of blue and white as they waved thousands of Scottish flags, though police said numbers were closer to 8,300.
Some of the men were clad in traditional Scottish kilts as they marched up Calton Hill, overlooking the city, to the sound of bagpipes.
Alex Salmond, leader of the pro-independence Scottish National Party and head of Scotland's regional government, told the crowds they would have "the opportunity of a lifetime" when they vote on September 18 next year.
Opinion polls suggest only around a third of the 5.3 million Scots currently intend to vote to break away, but Salmond insists he can convince a majority that independence would bring economic and political benefits.
Student Calum Martin, who lives near the western Scottish city of Glasgow, said he would be voting in favour of independence because he believed Scots should have a better say over how their money is spent.
"Scotland is an incredibly wealthy country. This is a chance to put that wealth to much better use," the 20-year-old said.
The 'no' campaign -- backed by British Prime Minister David Cameron's government -- claims Scotland is stronger as part of the larger United Kingdom, comprising England, Scotland, Wales and Northern Ireland.
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