The march was held in Ukraine's capital on what would have been Bandera's 105th birthday, and many of the celebrants carried torches.
Some wore the uniform of a Ukrainian division of the German army during World War II.
Others chanted "Ukraine above all!" and "Bandera, come and bring order!"
However, many of Bandera's followers sought to play down his collaboration with the Germans in the fight for Ukraine's independence as the leader of the Organization of Ukrainian Nationalists, Ukraine's foremost nationalist organization in the first half of the 20th century.
Bandera, who died 55 year ago, remains a deeply divisive figure in Ukraine, glorified by many in western Ukraine as a freedom fighter but dismissed by millions in eastern and southeastern Ukraine as a traitor to the Soviet Union's struggle against the occupying German army.
Bandera was a leader of Ukraine's nationalist movement in the 1930s and 1940s, which included an insurgent army that fought alongside Nazi soldiers during part of the Second World War.
Bandera's supporters claim they sided with the Nazis against the Soviet army, believing that Adolf Hitler would grant Ukraine independence.
Ihor Mykolaiv, one of Wednesday night's torch bearers, described Bandera as a man "who fought for the country, the faith and the ideals," but insisted that "Bandera never was on the Germans' side."
However, Bandera did collaborate with the Nazis and receive German funding for subversive acts in the USSR as German forces advanced across Poland and into the Soviet Union at the start of the war.
He fell out with the Nazis in 1941, after the Organization of Ukrainian Nationalists declared Ukraine's independence, and he was sent to a concentration camp.
Bandera won back Germany's support in 1944, and he was released.
The German army was hoping the Ukrainian insurgents could stop the advance of the Soviet army, which had regained control over much of eastern Ukraine by then.
Bandera set up a headquarters in Berlin and oversaw the training of Ukrainian insurgents by the German army.
His group also was involved in the ethnic cleansing that killed tens of thousands of Poles in 1942-44.
The Organization of Ukrainian Nationalists portrayed Russians, Poles, Hungarians and Jews — most of the minorities in western Ukraine — as aliens and encouraged locals to "destroy" Poles and Jews.
Bandera was assassinated in 1959 by the KGB in West Germany.
In January 2010, less than a month before his term in office was to end, Ukrainian President Viktor Yushchenko posthumously decorated Bandera with the Hero of Ukraine award.
That led to harsh criticism by Jewish and Russian groups.
The award was annulled by a court in January 2011 under President Viktor Yanukovych.
Kiev has been the scene of massive pro-European protests for more than a month, triggered by Yanukovych's decision to ditch a key deal with the European Union in favor of building stronger ties with Russia.
The nationalist party Svoboda, which organized Wednesday's rally, was one of the key forces behind the protests, but other opposition factions have said the Bandera rally is unrelated to the ongoing protest encampment in central Kiev.