Brussels police said Thursday that around 45,000 people attended the rally, which comes just two weeks ahead of regional elections in Catalonia.
Singing and chanting slogans, the throng marched around the EU's main institutions, some draped in flags or carrying signs with "Shame on You" stamped over an EU flag.
Former Catalan leader, Carles Puigdemont, was due to address the rally. He and four former Catalan government cabinet members came to Brussels after the referendum fearing arrest.
Many Catalans are pro-European, yet feel let down by the bloc's failure to mediate their conflict with Madrid.