The crowd carried large banners that read "Russia without Putin" and "Retribution of [Justice] is inevitable," while chanting "Our name is Boris Nemstov," as they made their way through central Moscow.

More than 30,000 people were expected to participate in the demonstration at Moscow's Pushkin Square.

Nemtsov's murder three years ago outside the Kremlin sent shockwaves across Russia and the world. The Russian politician had built up his profile under President Boris Yeltsin, rising to the position of governor of Nizhny Novgorod and eventually serving in the Kremlin as deputy prime minister.

After Vladimir Putin took office in 2000, Nemtsov grew to be one of the most outspoken critics of the regime, publicly opposing, among other things, the annexation of Crimea. He was murdered on February 27, 2015, a few days before he was set to participate in a big opposition demonstration.

Opposition continues to be detained

The commemorative march on Sunday comes days after Nemtsov's ally and current opposition leader Alexei Navalny's brief detention in Moscow.

Navalny later took to Twitter to inform followers that he had been charged with repeatedly violating rules prohibiting him from organizing political rallies.

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Media reports say the government could crack down on rally participants Sunday, with more arrests of opposition politicians likely.

Despite anti-government protests in Russia, President Vladimir Putin is expected to win the March 18 elections. Navalny's supporters have boycotted the vote.

In July last year, a Russian court sentenced five people to prison for Nemtsov's murder. 

Read more: Russia election: Who are Vladimir Putin's challengers?