The protesters want to end an amnesty introduced after Franco died on November 20th, 1975, since when no trials have been held over Spain's 1936-39 civil war or Franco's subsequent dictatorship -- seen as a particularly dark chapter of the country's recent history.
Descendants of those who were killed by Franco's Nationalists are still searching for the remains of their loved ones, while monuments honouring his regime are scattered across Spain.
Among the crowd in Madrid on Sunday were many elderly people holding placards bearing the name of a parent who was a victim of the Franco regime.
"Those who are governing us now are the same as the ones who governed then," said 62-year-old Gemma Carretero, whose father was killed in 1965.
She travelled 200 kilometres (120 miles) to deliver her message that "we must recognise what happened in the past and scrap the amnesty law".
"A country that fails to reconcile with its own past will never have an easy conscience. Never," said fellow protester Manuel Nunez, 79, who marched in memory of his father "imprisoned and gunned down on Christmas Day 1937, with 200 other Republicans".
The anniversary of Franco's death was not observed by the main political parties, though several small commemorations by those nostalgic for the old regime have been held in Spanish towns in recent days.