Campaigners carrying large flags, banners and wearing Wales football bucket hats paraded through the capital’s city centre on Saturday led by a samba band.
The rally was organised by All Under One Banner Cymru (AUOB) and Yes Cymru, who claim the UK Government in Westminster no longer has the best interests of Welsh people in mind.
Addressing crowds after the march, actor Julian Lewis Jones – who plays Boremund Baratheon in hit HBO series and Game Of Thrones prequel – called Downing Street “the worst show on in the West End at the moment”.
He said: “For far too long my country has been passive.
“We were the first colony of England and in some ways we are the last colony of England.
“But enough is enough. It’s time we stand up as a nation on our own two feet.
“We are big enough. We are strong enough. And we will fight for this.”
“Let this day light a fire in all our bellies,” he ended to applause.
A similar event held in Wrexham, North Wales, in July attracted around 8,000 supporters.
Cardiff Council told PA news agency it believes there were around 4,800 people at today’s march.
However, AUOB and Yes Caerdydd say they counted as many as 10,000 people.
Both groups said they were very pleased with the turnout, particularly given the effects of this weekend’s national rail strikes and the large number of other protests going on around the UK.
At the front of the march, and helping to carry a long sign that said “Annibyniaeth” – meaning Independence, was Plaid Cymru leader and former leader Adam Price and Leanne Wood.
Mr Price told PA he believed marchers were buoyed by a report published on Friday claiming to debunk the idea that Wales is “too small and too poor to thrive as an independent nation”.
The march began at midday in Windsor Place and travelled in a 1.5-mile loop along Queen Street, St John Street, Working Street, The Hayes, Mill Lane, St Mary’s Street, High Street, and Duke Street before returning to the starting point.
Speeches and performances then took place with the line-up including Lewis Jones, former Plaid Cymru leader Dafydd Wigley and Irish comedian Tadhg Hickey.
Mr Hickey was first to appear on stage and elicited loud booing from the crowd at the mention of Prime Minister Liz Truss.
Harriet Protheroe-Soltani, from AUOB Cymru, told supporters: “Independence is the only option we have to radically transform society.
“We can’t sit on our hands any longer.”
Mr Wigley said: “In this week of all weeks, do we really need to convince ourselves?
“Independence should not be a long term objective but an urgent necessity.”
A video of former Welsh rugby star and sports commentator Eddie Butler’s speech from an independence march in Merthyr in 2019 was played on the big screen.
Before Dafydd Iwan led the rally in a rendition of Yma O Hyd, which has become a popular song at Wales football matches.
Student Mirain Owen, 17, travelled to the march from Swansea with her father and said she believes support for independence is growing among young people.
“I’m here to support independence as a young person that wants to see a better future for Wales,” she said.
“I don’t think that the current situation is working for Wales and I think we definitely need to see some change as recent events in Westminster have shown us so clearly.
“I think young people are more supportive of independence than ever before because everything that is happening is affecting our lives, we can’t do nothing.”
Sion Roberts, 30, from Felinheli, North Wales, said the independence march is “not anti-English but anti-Westminster”.
“Ultimately, I feel like with Westminster making decisions we’re not getting the fairness that we deserve,” Mr Roberts said.
“There’s a reason why Wales is one of the poorest countries in Europe, despite the UK being one of the richest countries in the world, and it’s just not right. I think we can do better.
“We fully appreciate that this isn’t risk free. But we’d like the opportunity to be able to blame things going wrong on our own Parliament.
“We need to celebrate the differences you know.
“English has its own beautiful culture, we have ours, Scotland has theirs, Northern Ireland has theirs.
“We need to celebrate that rather than trying to unify something that’s ultimately different.”
Gethin Owen, 36, from Rhuthun, North Wales, said: “I think a lot of people say they don’t know what to think but when you talk to them they actually support the independence movement.
“But a lot of them only have access to English media and therefore they only see the negatives.
“Independence is a scary prospect and I think you need to be confident in your own nation to believe in it and confidence is something Wales has lacked for decades, maybe centuries.
“Peaceful marches like this are important for the indy-curious to see and learn what all this is about, and slowly then the tables will turn.”
A recent YouGov poll on behalf of ITV Wales and Cardiff University found over a fifth (24%) of Welsh voters would back an independent Wales in a hypothetical referendum.
Over half (52%) said they would vote against it while 14% said they did not know how they would vote.
Fringe events have been organised to take place into the evening including an independence gig which will be held at live music venue The Globe.