Sgrena's elderly parents, her companion Pier Scolari and staff from her newspaper, the communist daily Il Manifesto, led the march, which comes a few days after a tearful Sgrena pleaded with Italy's government to save her life by withdrawing its troops from Iraq in a video-tape released by her kidnappers.
Il Manifesto devoted its front page to a life-sized portrait of its 56-year-old correspondent, over the headline "Together". Italy's opposition has backed the demonstration, which is as much an anti-war rally as a demand for the release of Sgrena, and the safe return of her French colleague Florence Aubenas and her Iraqi driver Hussein Hanun al-Saadi, who went missing in Iraq a month before the Italian.
Marchers, including many families, waved rainbow-coloured peace flags and posters of the three. Some carried banners representing Italy's 20 regions.
However, the parties in Prime Minister Silvio Berlusconi's governing coalition - which has backed the US-led invasion of Iraq and deployed 3,000 troops there - have kept a low profile, and were taking no official part in the march after lawmakers voted Tuesday to maintain the troops in Iraq.
Reform Minister Roberto Calderoli dismissed Saturday's demonstration. "I believe it's useless, even risky, for the life of the kidnapped journalist," he said.
"Those who aren't going on the street don't understand the common feeling," said Fausto Bertinotti, leader of the Refoundation Communist party, in a shot across the government's bows.
Romano Prodi, who will challenge Berlusconi for Italy's leadership in a general election next year, said Saturday it was "my duty" to march in Rome.