The government deployed hundreds of government security forces to prevent a crowd banging pots and pans from marching towards the food ministry.
There were similar marches in at least five other Venezuelan cities.
In eastern Caracas, police fired tear gas against protesters trying to erect barricades in the streets.
For a month, demonstrators have been complaining about the high levels of violence and shortages of food staples like bread, sugar, milk and butter.
The authorities say 21 people have been killed in the weeks of unrest.
Opposition leader Henrique Capriles told the crowd in Caracas that detained students and others must be released before any talks with the government.
The opposition criticized the heavy security operation put in place by the government to prevent the march from reaching the food ministry.
The government said it wanted to contain the march because it “had not been authorized”.
In the eastern Caracas district of Altamira, National Guardsmen clashed with protesters who were setting up a street block.
At least two people have been injured, according to local newspapers.
Peaceful protests have been reported in the cities of Maracaibo, Isla de Margarita, Puerto Ordaz, Valencia and San Cristóbal .
President Nicolas Maduro has repeatedly invited all parties to take part in a “dialogue for peace”.
But during Saturday’s rally, leaders demanded the release of detained students and the suspension of the “repression of the people” before any participation.
Henrique Capriles spoke to thousands of women, students and opposition supporters at the “March of the Empty Pot”, that coincided with the International Women’s Day.
“Let’s transform this protest into the greatest social movement in this country’s history,” Henrique Capriles told the crowd, many banging empty pots as a symbol of the food shortages.
Most of the people supporting opposition protests are reportedly disgruntled Venezuelans from the middle and upper classes.
The opposition leader also repeatedly asked the crowd to refrain from violent acts.
Since February 12, at least 21 people have died in protests, Venezuela’s ombudswoman, Gabriela Ramirez, confirmed on Saturday.
Speaking to reporters in Caracas, Gabriela Ramirez said that members of the security forces were suspects in four cases, 10 allegedly died at street barricades and another five in violent episodes near roadblocks.
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