Navalny had called for the marches after publishing a detailed report this month accusing Prime Minister Dmitry Medvedev of controlling a property empire through a shadowy network of nonprofit organisations.
The report has been viewed over 11 million times on YouTube, but so far Medvedev has made no comment on the claims.
Yesterday's march in Moscow was one of the biggest unauthorised demonstrations in recent years, with police putting turnout at 7,000-8,000 people.
Police detained Navalny, who has announced plans to run for president in the 2018 election, as he was walking to the protest, putting him in a police minibus.
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"Guys, I am all right, go on along Tverskaya," Navalny tweeted from the van, referring to Moscow's main radial street.
Police said about 500 people had been arrested in Moscow, while OVD-Info, a website that monitors the detention of activists, said at least 933 had been detained, as well as dozens in other cities.
The Interfax news agency said 130 people were arrested in Saint Petersburg, where about 4,000 people gathered in the city centre.
"We're tired of the lies, we have to do something," Sergei Timofeyev, a 23-year-old protester in Saint Petersburg, told AFP.
He will face charges of calling a rally that disrupted public order, and could be held for up to 15 days.
From his cell, Navalny posted on Twitter that he was "proud" of the protesters and said the mass detentions were "understandable".
"The thieves defend themselves this way. But you cannot arrest everyone who is against corruption. There are millions of us," he wrote.