The coffins were draped with the flag of the terrorist organization, known by its Kurdish acronym PKK, and photos of the three women were seen throughout the crowd, Hurriyet Daily News reported.
Thousands of people filled the square, chanting slogans such "The PKK is the people" and "Martyrs never die."
The women -- Sakine Cansiz, Fidan Dogan and Leyla Soylemez -- were shot and killed Jan. 9 in Paris at the Kurdistan Information Bureau last week.
The bodies were flown to Istanbul Wednesday, then sent to Diyarbakir for the memorial organizers say will serve as a demonstration, Today's Zaman reported.
Cansiz was a PKK founding member; Dogan was a representative of Brussels' Kurdistan National Congress in Paris and Soylemez was a youth union member.
Business owners said their shops would be closed Thursday to protest the killings.
The women's deaths happened as Turkish leaders were in talks with imprisoned PKK leader Abdullah Ocalan to try to strike a deal to disarm the terrorist group.
PKK is fighting to establish a separate Kurd nation.