Demonstrators chanted "Wake up Europe!" and waved Catalonia's red, yellow and blue Estelada separatist flag as they marched past the European Union headquarters in the Belgian capital.
Puigdemont fled to Belgium after declaring his region independent from Spain in a referendum that saw voters in Catalonia vote overwhelmingly to secede from Madrid's control - although the ballot was not sanctioned by Madrid and less than half of the electorate turned out to vote.
Nuria Salvat, a student from Tarragona in Catalonia, said she had come to demand freedom for "political prisoners" - members of Puigdemont's administration held in jail in Spain - and to support Puigdemont himself, who faces jail if he returns.
Former Catalan leader Carles Puigdemont and four ex-Catalan government cabinet members came to Brussels after the referendum fearing arrest.
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Protesters arrived in a stream of coaches and camper vans with Spanish registration plates and gathered in the Cinquantenaire Park in Brussels' European quarter before the start of the march at 1030 GMT, (6:30pm Malaysia time). The warrant was issued after the five left Spain for Brussels over a month ago following Catalonia's independence referendum on October 1.
Children and families were among those who began the march in high spirits despite the cold and rain.
The route, expected to finish close to the European Parliament, brought protesters just around the corner from the European Commission, where its Vice President Frans Timmermans told a press conference that the atmosphere he had witnessed was very positive and determined.