"They don't represent us," they chanted, referring to the current government. "The people united will never be defeated."
The protesters continued their rally in defiance of a government order that they disperse by 10 p.m. Saturday, CNN reported.
The anti-government rally in Madrid and dozens of other Spanish cities coincided with the one-year anniversary of the May 15 protest movement.
The Guardian reported riot police watched the well-behaved crowd in Madrid and police helicopters hovered above.
"We are calling for respect for the law and responsibility," Deputy Prime Minister Soraya Saenz de Santamaria said. "This government will make sure the law is obeyed."
One protester Emilio Torres, said he had brought a tent and sleeping bag so he could stay all night. "I don't think they will dare get rid of us," he said.