The demonstrators approved the rally's official message that nothing should be allowed to hinder the steps taken by the government to overcome the global financial crisis.
"We will not allow any external attempts or provocations inside the country to mess up the policies of [President Dmitry] Medvedev and [Prime Minister Vladimir] Putin. We will fight for them and defend them," the demonstration's resolution read.
Local police said around 5,000 people attended the rally on Manezh Square in downtown Moscow, while organizers put the figure at 8,000.
United Russia organized a day of rallies across the country, from Vladivostok in the Far East to Kaliningrad on the Baltic Sea.
The Russian Communist Party responded with protests in several cities, including Moscow, where at least 1,000 activists gathered to speak out against the rising price of food and household essentials, and the erosion of workers' rights.
At a square just off central Tverskaya Street, people carried Communist flags and placards reading "Prices rise, the people fall into poverty" and "Our cause is right - socialism will win!"
At the United Russia Rally a few minutes away, large pictures of Medvedev and Putin were on display, as well as the slogan "People! Medvedev! Putin! Together we will succeed!"
Speaking to the crowd, MP Andrei Isayev said it was the responsibility of every citizen to support the measures to overcome the financial crisis.
"We have a strong, forceful, respected president, who we support and will support. As prime minister there is a national leader, the most popular politician in the country, who has always been on the side of the people and listened to the people," the head of the State Duma's committee on labor and social policy said.
After 40 minutes in freezing temperatures, the participants warmed up with mass dances on Manezh Square.
At a similar protest in Rostov-on-Don, around 4,000 United Russia supporters gathered despite cold rain in support of the government's economic policies, but they were met by a few hundred Communists, protesting against the response to the financial crisis.
Around 80 police ensured order as the two rallies took place on opposite sides of the main Teatralnaya Square. The Communists sung Soviet-era songs, while the United Russia supporters countered with slogans and hot cups of tea from a field kitchen.
In Novosibirsk, around 400 Communists were joined by car owners who braved minus-30-degree cold to protest the government's economic policies.
"No trust in Putin's government" and "Officials should try the pensions of workers" read some of the slogans.
In Vladivostok, where drivers briefly sparked fears of serious anti-government protests late last year, a United Russia demonstration was led by the Primorye governor.
"The Primorye Territory is coping with the global financial crisis," Sergei Darkin told the crowd. "We must resist populism, irresponsibility and attempts to oppose the people and the authorities."
Russia has been hit hard by the worldwide economic downturn, which has cut the price of oil and other major commodities which drive the Russian economy. The ruble has fallen more than 30% against the dollar since last summer and the federal budget is predicted to be in deficit this year for the first time in a decade.