Navalny called for the protests after publishing a detailed report this month accusing Prime Minister Dmitry Medvedev of controlling a property empire through a shadowy network of non-profit organisations.
The report has been viewed over 11 million times on YouTube but Medvedev has so far made no comments on the claims.
Navalny, who has announced his intention to run for president in next year's election, has been rallying supporters in major Russian cities in recent weeks.
"We have all seen the movie, it gives specific examples of corruption and there has been no reaction," said 26-year-old factory worker Nikolai Moisey.
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"They steal and they lie but still people will be patient to the end. The protest is a first push for people to start acting."
Police detained Navalny shortly after 2:00 pm (1100 GMT) as he was walking to the protest, putting him in a police minibus, and the surrounding crowd briefly tried to block it from driving off shouting "Shame!" and "Let him out!"
Between 3,000 and 4,000 people filled Pushkin square, with some shouting "Russia without Putin", referring to President Vladimir Putin.
They also shouted "Russia will be free" as police seized protesters who held up placards.
"The whole country is tired of corruption on such a scale," 50-year-old Natalia Demidova said. "Medvedev should be fired once such exposes come to light."
Some cities have officially sanctioned Sunday's protest.
In the Siberian city of Novosibirsk, about 2,000 gathered in the city centre carrying signs like "No to corruption," according to local news website Sib.Fm.