Nemtsov was shot and killed on Feb. 27, 2015 while walking on a bridge near the Kremlin. His death sent shock waves through Russia's beleaguered opposition.
Demonstrators at the front of Sunday's anniversary event carried a banner reading, "These bullets are in all of us."
Two candidates in Russia's presidential election next month - Ksenia Sobchak and Grigory Yavlinsky - participated in the march.
An officer in the security forces of Chechnya's Kremlin-backed leader Ramzan Kadyrov was convicted of firing the shots that killed Nemtsov and received a 20-year prison term. Four other men convicted of being involved in Nemtsov's slaying received 11 to 19 years.
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