More than 1,000 people took part in the protests outside the Popular Party headquarters, the BBC said.
The demonstrators are taking issue with claims that illegal cash payments were made to members of the party. Thursday night, they called for the government to resign, the BBC said.
The party's former treasurer, Luis Barcenas, has been arrested and is facing corruption charges.
Barcenas said he is innocent, but admits he made numerous bonus payments in cash to Prime Minister Mariano Rajoy and other senior party members.
The money came from the party's slush fund of illegal donations from businesses, authorities allege.
Rajoy denies any wrongdoing and has accused Barcenas of blackmail, the BBC said.