One of the politicians taking part in Thursday's 20-kilometer (12-mile) procession was a small-town leftwing mayor, who admitted taking part in a Robin Hood-style looting of supermarkets last week.
Juan Manuel Sanchez Gordillo said the protesters want aid for what he said were 350,000 families in the Andalusia region, in which no one has work or gets unemployment benefits.
He told reporters he also wants authorities to halt evictions of families who cannot pay their mortgages.
The marches are scheduled to take place in Andalusia's eight provinces. Thursday's left from Jodar, a town with a jobless rate of more than 40 percent. Nationwide it is nearly 25 percent.