Abd Al-Hadi al-Khawaja was jailed on 25 September after he blamed Prime Minister Shaikh Khalifa bin Salman al-Khalifa for Bahrain's economic woes and called for his resignation.
His detention - and the consequent closure of a human-rights centre he ran - provoked sharp criticism from international rights groups and key ally United States, whose navy has its Fifth Fleet stationed in Bahrain.
"Long live Abd Al-Hadi. Hands off, Shaikh Khalifa! People don't want you," angry demonstrators shouted.
The march ended peacefully, with the police keeping a low presence in an apparent effort to avoid confrontation. The rally was organised by a committee of rights activists.
King Hamad bin Isa al-Khalifa has stood by the prime minister - his uncle - and said he would not tolerate criticism of senior government officials.
The US said on Wednesday the arrest ran counter to recent political reforms and improvements in human rights initiated by the king after his rise to power in 1999.