The nine defendants face decades in prison on rebellion and other charges for staging a banned referendum in October 2017 and declaring Catalan independence, although they took no action to implement that.
Many supporters believe the defendants are "political prisoners." Large pro-independence protests have been staged in Spain's northeastern region and in some European cities, but Saturday's is the first major separatist march in the Spanish capital.
Organisers expect 50,000 protesters, most of them travelling from Catalonia in some 500 buses.
A banner reading "self-determination is not a crime" opened the march. Authorities in Madrid have deployed more than 500 police officers including riot police.
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