"All our purpose is to try to press the government to get the right decisions, brave decisions, that will bring to the situation that Gilad Shalit will be released," Shimshon Liebmen, spokesman for the Shalit campaign said.
'Do not ignore us'
Hamas, which has ruled the Gaza Strip since 2007, wants hundreds of Palestinian prisoners freed in exchange for Shalit.
Prisoner swap talks broke down in December and have not resumed, with Israel and Hamas failing to agree terms of a swap.
Aviva Shalit, Gilad Shalit's mother, called on Netanyahu to pursue the swap deal.
"Binyamin Netanyahu do not ignore us. I promise myself, my family and all of us that we will not give up on Gilad and we will not allow you to give up on him," she said.
Some Israelis at the rally held signs protesting against the Shalit march, and denounced the release of Palestinian prisoners.
"Bibi [Netanyahu], do not release murderers. I want to live", one sign read.
'Gone far enough'
Sherine Tadros, Al Jazeera's correspondent in Jerusalem, said the message of the marchers was very clear - that the government of prime minister Netanyahu really needs to do more to secure his release.
"Last week Netanyahu said that Israel had gone as far as it is willing to go on a prisoner exchange deal and that the ball is in Hamas's court," Tadros said.
"Hamas say there are thousands of Palestinian prisoners still inside Israeli jails and they will not compromise on a list of 450 names [of prisoners they want freed].
Netanyahu, however, says if certain high profile prisoners are released they could return to carry out attacks on Israelis.
"The parents and supporters don't buy Netanyahu's line that his decision is based on security reasons," our correspondent said.
"They are saying that they [his reasons] are his, not Israel's and certainly not a policy.
"What we have been hearing from marchers here is that there have been previous Israeli administrations that have crossed that line and released Palestinian prisoners considered high profile for the sake of [retrieving] not just live soldiers but [also] the bodies of dead ones."