Demonstrators chanted "Wake up Europe!" and waved Catalonia's red, yellow and blue Estelada separatist flag as they marched past the European Union headquarters in the Belgian capital.
"We cannot abandon our president, who is in exile here," Antoni Llenas, 59, a protester wearing a flag over his shoulders, told AFP. "We are here to continue the struggle for our independence and to ask for the freedom of our political prisoners."
Puigdemont and four former ministers fled to Brussels in November, saying they wanted to take their cause to the European level after Spain charged them with sedition and rebellion over Catalonia's independence referendum in October.
On Monday, the Spanish government dropped a European arrest warrant for the five, but Puigdemont said he would stay put for now as they still face arrest in Spain if they return for regional polls in Catalonia that Madrid has called for December 21.
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Children and families were among those who began the march in high spirits despite the cold and rain.
Their route is taking them past the headquarters of the European Commission and they will end up in a square between the European Council and European Parliament.
The EU has strongly backed the Spanish government over the Catalan issue, saying that it is an internal matter for Madrid.
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