Correspondents say the rally was staged as a shot across the bows of the French government ahead of President Emmanuel Macron's visit on Tuesday.
The nationalists are not seeking independence, but they do want more financial devolution and recognition for the Corsican language.
Mr Macron has said he will not agree to changing France's constitution.
Tuesday's visit will mark the 20th anniversary of the targeted killing of France's top official on the island, Claude Érignac, during a wave of violence orchestrated by the National Liberation Front of Corsica (FLNC),
The FLNC, a separatist militant group, declared a ceasefire in 2014.
The local authorities said about 6,000 demonstrators were at Saturday's protest in the capital Ajaccio.
But the protest's organisers put the figure at 25,000.
Image copyrightAFPImage captionThe protest aimed to put pressure on Mr Macron to give the island greater autonomy
Corsican nationalists have been emboldened by a resounding win in December's elections.
Although a ceasefire has been in place since 2014, Corsica's current leader, Gilles Simeoni - a moderate nationalist - issued a warning earlier this week in an interview with Reuters that Paris would be "playing with fire" if it did not engage with Corsica's issues.