Police did not issue an estimate of those attending the protest, which was supported by Spain’s right-wing opposition and the country’s Roman Catholic church.
"As a Catholic, I think we should help women have children, not abort them," Paco Ortega, one of the protesters, said.
In one part of the demonstration, children danced and sang: "Thank you mummy for letting me live."
The demonstration is the first mass protest against changes to Spain's abortion law proposed by the government of Jose Luis Rodriguez Zapatero.
The government wants to grant increased legal protection to women who choose to have an abortion and doctors who carry out the procedure.
Only about two per cent of abortions in Spain are estimated to take place in public clinics.
Many doctors refuse to perform them on ethical grounds or because they are concerned over possible legal action against them.
Spain decriminalised abortion in 1985, but only in particular circumstances - up to 12 weeks of pregnancy after a rape; up to 22 weeks should the foetus be found to be malformed; and at any point if the pregnancy posed a threat to the physical or mental health of the woman.
The government is now proposing to allow girls from the age of 16 to have an abortion without receiving their parents' consent.
A government-appointed panel said earlier this month that Spain should allow women to have an abortion on demand up to 14 weeks into a pregnancy.
"The government wants to approve a free abortion law that leaves the unborn completely unprotected," Gador Joya, a spokeswoman for Right To Life, told the crowd at Sunday’s demonstration.
The proposed changes to the abortion law "will only lead to more deaths and more suffering by thousands of women," she said.
But a Spanish feminist coalition comprised of 200 groups has launched its own campaign in support of the government’s proposals on amendments to the abortion law.
"We are going to flood Spain with posters in response to the church's alarmist campaign," Angeles Alvarez, spokeswoman for the State Network of Feminist Organisations, said.