Speaking to some 5,000 supporters with a megaphone, Lopez said that he doesn't fear going to jail to defend his beliefs and constitutional right to peacefully protest against President Nicolas Maduro.
"We've got nothing to hide," Lopez told by a sea of supporters dressed in white.
After the short speech, Lopez descended from a statue of 19th century Cuban independence hero Jose Marti and walked a few feet to a police picket, where he turned himself in.
Lopez's supporters say the three people who died in the protests were shot by pro-government forces.
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The opposition rally and a competing pro-government one downtown came one day after Maduro's government gave three US Embassy officials 48 hours to leave the country, claiming they were supporting opposition plots to topple his socialist administration. The US denied that.
Supporters of Lopez, who is Maduro's most vociferous foe, rerouted their protest march away from the central plaza in Caracas where pro-government oil workers planned their own demonstration.