The vigil to remember Excalibur, who was put down by Spanish health authorities after its owner, Romero, contracted Ebola, was one of 18 protests across Spain organized by Spanish animal rights party, Pacma.
Dozens of supporters gathered, some bringing their own dogs, and carrying signs reading "Excalibur, we will not forget you".
Romero speaking at Thursday's demonstration.
Excalibur, an American Staffordshire Terrior, was put down a year ago this week when Romero became the first person outside West Africa to contract ebola.
A nurse at Madrid's Carlos III hospital in Madrid, Romero had been treating two Spanish missionaries who were flown home from Africa and later died.
At the time Spanish health authorities were criticized for their hasty reaction, with leading Ebola researchers questioning their actions.
The world authority on the virus, Eric Leroy, said that "the dog does not have to be killed because it is important from a scientific point of view."
During Thursday's protest, Romero thanked supporters for coming out "in memory of Excalibur, who was executed a year ago by health authorities".
The nurse also made a plea that "these things will not happen again."
Romero's partner, Javier Limon, also thanked "all those who are gathered at different points around the country and those that supported us in trying to stop the execution that happened.
"He was like the child we never had we will continue asking for justice for a death that should never have happened," he added.
Animal rights party Pacma told reporters it is calling for a maximum biosafety facility that would allow animals to be kept in quarantine as well as for Spain's to change its policy on putting down dogs they believe might be carrying the ebola virus.
Romero was quarantined after contracting the disease and treated with blood plasma from a surviving ebola sufferer, as well as an antiviral drug. She was allowed out of quarantine and returned home in early November 2014.
Since returning home, Romero and Limon have adopted a new dog, an abandoned puppy called Alma.