The march began on Sunday morning with a large column of cars blocking traffic, according to the footage shared by the O Globo news channel.
People were seen carrying banners denouncing ex-justice chief Sergio Moro and praising Bolsonaro, who joined the demonstration.
The pro-business president has been under fire from his own ministers and medical experts for resisting restrictions on public life aimed at curbing the spread of the coronavirus.
In a further blow, Moro, who resigned in April, testified to federal police on Saturday that Bolsonaro had interfered in judicial matters.
Bolsonaro has repeatedly dismissed the virus as a "flu" and has continued to meet with the public after a trip to the United States in March, which saw 20 members of his delegation fall ill with COVID-19. He may face impeachment for breaking self-isolation rules if he tests positive.
Rio de Janeiro Governor Wilson Witzel criticized the Sunday pro- Bolsonaro march, saying on Twitter that the president was giving a bad example by participating in a demonstration at the time when local authorities were calling for self-isolation amid the spread of the coronavirus.
Bolsonaro has been calling for limited isolation only, for high-risk groups of people, such as seniors, but regional authorities have followed the recommendations of the World Health Organization (WHO) subjecting all Brazilian residents to coronavirus restrictions.