The crowd, led by opposition leaders, lawmakers and Lilian Tintori, the wife of jailed opposition leader Leopoldo Lopez, carried flowers and placards denouncing "repression."
It was prevented by police and soldiers from reaching the interior ministry, though no clashes or other violence was seen.
One lawmaker in the protest, Gaby Arellano, told AFP some in the security forces "were asking themselves if today they were going to open fire on their wives, daughters or mothers."
Similar rallies were held in other cities.
They were the latest in more than a month of anti-government demonstrations, many of which have been countered by pro-Maduro crowds and security forces.
The death toll since April, when the protests intensified after Maduro's administration and the courts stepped up efforts to undermine the opposition, is at least 36 according to prosecutors.
"May the last death be that of the dictatorship," read one slogan in the Caracas rally.
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Young man dies in Venezuela unrest, toll hits 36
Chavez statue toppled
The last fatality in Venezuela's unrest, that of a 22-year-old man, occurred Friday during looting in impoverished Venezuelan cities hardest hit by a worsening economic crisis. In Valencia, where the man died, some areas looked like a disaster zone with bars on shop windows bent and windows broken.
Demonstrators blame Maduro for the country's plight and the penury of food and medicine. They are demanding elections to remove the leftist president.
Maduro, backed by the Venezuelan military, is resisting. He and the opposition have blamed each other of using armed groups to sow violence.
The president has started a process to rewrite the current constitution brought in under his late predecessor and mentor Hugo Chavez. The opposition and many protesters say that is a tactic to try to dodge elections.
With anger boiling over, young protesters in the western municipality of Rosario de Perija on Friday burned, pulled down and then smashed a statue of Chavez, according to video posted on social media.
US tone sharpens
Maduro and his officials say the crisis rocking the country is a US-backed conspiracy designed to topple him and install a right-wing government.
The United States, which had been relatively muted over the situation in Venezuela, was now taking a stronger tone against Maduro's "violent crackdown on protestors."
The US ambassador to the UN, Nikki Haley, said in a statement that Maduro's "disregard for the fundamental rights of his own people has heightened the political and economic crisis in the country."
She called for the immediate release of "political prisoners," including Lopez who has been "held on trumped up charges by the government since 2014."
Haley also raised the issue of Venezuela's detention of an American citizen, Joshua Holt, who was arrested in Caracas nearly a year ago on what US media said was false evidence planted by police.
A White House statement said the leader of Venezuela's opposition-held legislature, Julio Borges, had met on Friday with National Security Adviser H.R. McMaster. Both agreed "there is a strong need to bring the crisis to a quick and peaceful conclusion."
Although the statement made no mention of it, a senior administration official later told AFP that US Vice President Mike Pence had also met Borges, but "did not participate in the full meeting with General McMaster."
