Participants dressed for this year's "naughty green" theme sang and danced through downtown Hong Kong, which has been criticised for lagging behind other Asian hubs in terms of LGBT rights.
Organisers said 6,800 people took part, while police put the figure at 2,500.
Attendees included city lawmakers, who said they will raise the topic of equal rights in parliament.
"After decades, we still do not have anti-discrimination laws and marriage equality is still far away," Hong Kong's first openly gay lawmaker Ray Chan said.
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"I hope that one day with our hard work, they can openly attend the pride parade."
Some travelled from the neighbouring Chinese city of Guangzhou to take part.
"We wanted to come and show support from mainland China," Steve Imrie, 36, told AFP.
"Hong Kong should be much more forward-thinking than the rest of the country, so we are looking for Hong Kong to be allowing same sex marriage, and China should follow it, hopefully," the school headmaster, who was in a bright green wig and a dress, said.
They called on the island's government to legalise same- sex marriage, as progress on the issue has remained stagnant and attempts to pass a marriage equality bill has stalled.
Taiwan's current president Tsai Ing-wen has openly supported marriage equality and its parliament is expected to deliberate fresh proposals on the issue soon.