Giuliana Sgrena, who writes for the daily Il Manifesto, was seized in Baghdad on 4 February while carrying out interviews. Sobbing and wringing her hands, Sgrena appeared on a video this week pleading for her life.
"Today's march shows that the entire nation is close to Signora Sgrena," said Romano Prodi, leader of Italy's centre-left opposition bloc and former president of the European Commission.
Organisers said 500,000 people joined the protest on Saturday, which snaked its way past the Colosseum down to the ancient chariot track, the Circus Maximus, for a rally and music concert.
There was no immediate official estimate of crowd numbers.
The march under grey skies took on political overtones, with many demonstrators calling on Prime Minister Silvio Berlusconi to withdraw Italian troops from Iraq.
Berlusconi is against withdrawing
Italian troops from Iraq
Il Manifesto was vehemently opposed to the US-led war on Iraq and Sgrena had condemned the Italian deployment following the fall of Baghdad. In her emotional appeal, Sgrena called on Italy to withdraw its soldiers.
Italy has about 3000 troops in Iraq, the fourth largest foreign contingent after US, British and South Korean forces.
"Let's free peace," said a large banner at Saturday's rally.
Right-wing politicians steered clear of the demonstration but Berlusconi has said he is doing his utmost to win Sgrena's freedom, telling reporters this week he was optimistic.
Among those who did take to the streets was Simona Torretta, a charity worker who was held hostage in Iraq along with a friend for three weeks in September 2004.
Some politicians said the Italian government had paid a ransom to free them, but the government denied it.
Flapping alongside the peace banners on Saturday were many Iraqi flags and red communist flags. Local Muslim associations and Kurdish groups also joined the rally.
"I know that all these people aren't here just to seek the release of my daughter but also the withdrawal of the troops from Iraq. But that's fine," said Sgrena's father, Franco. "We are all thinking about her and hoping they don't hurt her."
The 57-year-old Sgrena is at least the eighth Italian to have been taken captive in Iraq. Another journalist, Enzo Baldoni, was seized last August and later killed by his captors.