Organisers said that at least 1.7 million took part.
The assembly was peaceful, with no reports of violence, making for a rare calm weekend in a movement that has been marked by violent clashes with police.
Law enforcement officers kept a low profile, with no riot police seen from the procession’s main routes.
When stragglers convened outside a government complex in the late evening, other protesters urged them to go home.
“We hope that there will not be any chaotic situations today,” organiser Bonnie Leung said.
“We hope we can show the world that Hong Kong people can be totally peaceful.”
While police had granted approval for the rally, they did not approve an accompanying march. Demonstrators nevertheless fanned out and filled the streets as there was not enough space at the designated assembly area.
“Peace is the number one priority today,” said Kiki Ma, a 28-year-old accountant who participated in the march. “We want to show that we aren’t like the government.”
In Beijing, You Wenze, a Chinese government spokesman, condemned statements from US politicians supportive of Hong Kong’s pro-democracy movement as “a gross interference in China’s internal affairs”.
Mr You called the Americans’ comments “a gross violation of the spirit of the rule of law and a blatant double standard”.
The protesters’ demands include the resignation of Hong Kong’s pro-Beijing chief executive Carrie Lam, democratic elections and an investigation into police brutality against them.
Members of China’s paramilitary People’s Armed Police force have been training for days across the border in Shenzhen, including yesterday, fuelling speculation that they could be sent in to suppress the protests. The Hong Kong police, however, have said they are capable of handling the protests.
Harley Ho, a 20-year-old student who attended yesterday’s rally, said protesters would not rest until their demands were met.
“We will stand here, we will take action until they respond to us,” she said. “In the rain, our spirit becomes stronger.”