President Vladimir Putin did not join marchers at the pro-Kremlin "We Are One" rally on National Unity Day on Tuesday in central Moscow, but later delivered a speech portraying Russia as morally superior in the standoff with the West and saying it had united in the face of "difficult challenges."
Unity Day commemorates a popular rising against a Polish invasion in 1612 and was revived under Putin in 2005.
The authorities are likely to hold the march up as a display of unity behind Putin in the face of the Western sanctions.
The sanctions, which target people close to him and state companies in the energy, finance and defense sectors, are intended to weaken support for his policies but polls show his popularity ratings are still over 80 percent.
He has hit back with some of the fiercest attacks of Western policy, and particularly the United States, since he first rose to power in 2000.
This has rallied support in Russia though he risks being isolated by the West.
"Dear friends, this year we have had to face difficult challenges. And as has happened more than once in our history, our people responded by consolidating and with a moral and spiritual upsurge," Putin told a gala reception.
"The desire for justice, for truth has always been honored in Russia. And threats will not force us to abandon our values and ideals."
He also lay flowers on Red Square with various religious leaders from different faiths and kissed an icon — again underlining his closeness to the Russian Orthodox Church, the religion practiced by tens of millions of compatriots.
Since annexing Crimea following the overthrow of a Ukrainian president sympathetic to Moscow in February, Putin has defied the West by backing the separatists in mainly Russian-speaking eastern Ukraine.