Lam Wing-kee is one of five booksellers who went missing last year -- all worked for a publisher known for salacious titles about leading Chinese politicians.
The case heightened fears that Beijing was tightening its grip on semi-autonomous Hong Kong, with Lam's explosive revelations earlier this week about how he had been detained in China further fanning many residents' concerns.
Lam said that he did not feel afraid after breaking bail, refusing to return to the mainland and breaking silence on his detention.
"I'm happy to be back in Hong Kong."
He added that he had been contacted by the city's police but had not yet responded to them. He would give no detail about where he was now living.
Leading the rally, he shouted slogans including "Say no to authority!" and "Hong Kong has a bottom line!"
The protesters, carrying banners saying "Fight until the very end" are marching from the Causeway Bay Bookstore, the business at the centre of the controversy, to China's liaison office.
Lam said he was kept in a room, interrogated for months and forced to sign away his right to a lawyer or contact with his family.
He also described how he recited a scripted confession broadcast on Chinese state television, admitting to trading banned books, out of fear.
Pro-democracy lawmakers are demanding to know what Hong Kong authorities have done to help the booksellers, accusing them of being a puppet of Beijing.
Protester Simon Chan, 60, said it was time for people to speak up.
"If we don't voice out, then this will just continue and we will be very scared," he told AFP.
Beijing has refused to be drawn on Lam's accusations, saying only that it is entitled to pursue the case as he broke mainland Chinese laws.
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