President-elect Donald Trump says Venezuela's embattled opposition leader must be protected as President Nicolas Maduro takes the oath of office for a third six-year term.

Venezuela opposition leader Maria Corina Machado was detained at a march in Caracas on Thursday in her first public appearance in months and her ally, former presidential candidate Edmundo Gonzalez, demanded she be freed immediately.

Maria Corina Machado, a 57-year-old engineer with rock-star appeal, became the fearless figurehead of Venezuela's opposition after being barred from challenging strongman Nicolas Maduro in elections last July.