Pte Clegg, a soldier in the Parachute Regiment, has been the focus of a campaign since the House of Lords confirmed his life sentence for the killing of a 17-year-old girl joyrider shot in Belfast in 1990.
Sinn Fein leader Gerry Adams addressed the rally, which has been held each year since soldiers of the Parachute Regiment shot dead 14 people at a civil rights march in the city in January 1972.
Mr Adams appealed to the British Government to move more quickly in the peace process. He said the IRA had created an opportunity to move forward and that the Government was miscalculating if it thought that suing for peace was a sign of weakness. "It isa sign of strength," he declared.
Mr Adams said that if Mr Major was genuinely committed to peace, "he should make a start by apologising to the people of Derry for the atrocity of Bloody Sunday, a premeditated terrorist attack on civilians".
The rally was addressed by Gerry Duddy of the Bloody Sunday Justice Campaign, who said his 17-year-old brother Jackie had been "executed by the British killing machine" in 1972.
Mr Duddy said the Clegg campaign had brought back the hurt and pain for many, adding: "The Private Clegg roadshow, carefully managed by the media, is one of the most despicable campaigns ever witnessed on these islands."
He said he would like some day to put Bloody Sunday behind him and stretch out the hand of friendship to the people who were responsible for it, but the British Government continued to react with arrogance and hypocrisy.
Banners and placards carried in the march emphasised demands for the freeing of republican prisoners. New banners, clearly designed since the IRA's decision carried slogans such as "No more deaths - create peace - unite Ireland."
Many of the older banners continued to display the symbols of republican violence, such as rifles and other weapons, but Mr Adams, in his speech, spoke of a new era of possibilities and a new beginning. He declared: "A just and lasting peace is the only memorial which can ease the pain and justify the suffering of the victims of Bloody Sunday and of all those who have suffered."Reuse content