Organisers said participants had travelled to the city on Saturday morning on 300 buses.
Representatives of the main parties and unions also took part, as the country gears up for a general election on December 20.
"The economic crisis means many women have not left their aggressors because they do not have the means," said 61-year-old protester Marisa Teijero, adding that "it is more important than ever to unlock public funds."
IT specialist Nacho Molina, 49, said the presence of men at the protest was key.
"In Spain, there is still a need to educate men so that they put an end to `machismo` (male chauvinism)," he said.
In 2015, 41 women were murdered as a result of violence at the hands of a partner or an ex-partner. Only seven of the victims had lodged official complaints against their aggressors before their deaths.
Each of their deaths by stabbing, beating and even burning was reported in Spanish media.
Spain adopted a groundbreaking law in 2004 to fight violence against women, including through setting up a hotline that would not appear on users` phone bills, offering free legal aid free and establishing shelters for victims.
From January 2003 to May this year, 779 women were killed in Spain by their partners or ex-partners. Since 2008, the number has been steadily decreasing. From 71 in 2003, the toll went down to 54 in 2014.
Feminist organisations are calling for the campaign against gender-based violence to be broadened to include sexual violence, harassment in the workplace and trafficking in women.
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