Earlier in the day, police took Ramdev to a waiting bus after the bearded guru called for political change and courted arrest. Police later said that he was free to go, TV channels reported.
"Remove the Congress Party and save the nation," he said at the start of his "protest" walk in the afternoon with thousands of supporters as opposition political leadership rushed to be seen near him.
A Congress spokesman called the rally a political stunt.
Ramdev's anti-graft campaign is loosely aligned with a message by social activist Anna Hazare, who staged a hunger strike last summer against corruption that roused public ire against the government, though his popularity has waned.
Prime Minister Manmohan Singh this month, seeking to gain political momentum and boost the economy, brought back pro-market reformer Palaniappan Chidambaram as finance minister, cheering markets but also raising questions over whether the government has the mandate to get the job done.
Ramdev, who ties his unruly long black hair into a bun and jets around in private planes, was arrested in a surprise night-time raid last year on corruption allegations, sparking outrage by supporters who said the move was political.
He reportedly sought to avoid any confrontation at Monday's rally and told the police he wanted to court arrest peacefully, according to an official in the prime minister office.
"We've deployed adequate security for Ramdev's march. Everything should be in control," Rajan Bhagat, Delhi police spokesman told Reuters. But he refused to comment on whether the guru sought police permission for the demonstration.
Edited By Cen Fox Post Team
