The biggest marches have taken place in Sao Paulo's business district and along Rio de Janeiro's Copacabana beach.
Demonstrators were angry after the lower house of Congress on Tuesday passed a number of amendments to a landmark anti-corruption bill.
Organisers say politicians have tried to intimidate the investigators.
Politicians, who are themselves being investigated, watered down the proposal, protesters say.
Controversially, they included in the bill the prospect of harsh punishment for judges and prosecutors who abuse their powers.