The rally, organized on social media under the motto "Diaspora at Home", called on Romanians living overseas to return home and gather at the square to protest what they say is a corrupt government.
There was some violence: protesters tried to break through a security line while others threw bottles and rocks, reported Reuters. Law enforcement officers used tear gas canisters and water cannons.
Protests in Bucharest turned violent, with Euronews videos showing riot police officers beating demonstrators into the ground.
A Romanian protester wears an old gas mask during the second day of protest of expatriates against the leftist government on Saturday in Bucharest.
Romania's President Klaus Iohannis, a critic of the government, said he "firmly condemned the brutal intervention of riot police", which he called disproportionate reaction to a protest where most were peaceful.
"The interior ministry must explain urgently the way it handled tonight's events". At least 3 million Romanians live and work overseas, but local media reported that a number of them returned home to take part in this weekend's demonstrations, which also took place in other parts of the country.
Earlier in Bucharest during the anti-government protests, clashes of protesters with the police.
"They were dragged out of the vehicle, even though they showed their passports and explained they had nothing" to do with the protest, the embassy said, adding that the men would file a criminal complaint.
"I left to give my children a better life, which was not possible here then", said Ostafi.
Sorin Radu, who works in IT, said he was protesting "because we have a government where many are corrupt".
Several more thousands protesting against graft and politicians' attempts to decriminalise several corruption offences gathered in the Transylvanian cities of Cluj, Sibiu and Brasov, in Timisoara on the border with Serbia, and in the eastern city of Iasi.
This year it pushed changes to the criminal code through parliament that have raised concerns from the European commission and USA state department. The changes are pending Constitutional Court challenges.
Romania, a country of 20 million which hosts a US ballistic missile defence station, remains among the poorest and most corrupt members of the EU.
The protesters had earlier chanted "resign" and "thieves" at the rally.
"Almost all of the public sector is malfunctioning, it must be changed completely and replaced with capable people", said Podut.