Organised by the Foro Ermua group, Saturday's march was backed by the opposition Popular Party (PP).
Mariano Rajoy, the PP's leader, and Jose Maria Aznar, a former prime minister, attended.
The crowd shouted slogans calling for the resignation of Jose Luis Rodriguez Zapatero, the socialist prime minister.
An Eta ceasefire ended last December when a bomb blast in at
The PP insists that the government has not said clearly enough that peace talks have ended.
"This march is a success for the many democrats who believe two things: that you can't negotiate with terrorists and that yes, we have to do away with them," said Angel Acebes, the PP's party chairman.
The PP, which groups conservatives as well as far-right factions, last month declined to join a separate anti-Eta protest organised by an Ecuadorian group.
The party argued that the organisers of that march, which drew tens of thousands to
Eta attacks have claimed hundreds of lives in a four-decade campaign.
The group seeks a separate Basque homeland comprising parts of northern