Protesters waved placards calling for Hong Kong's independence from China and signs with photos of the bookseller, Lam Wing-kee, whose revelations last month about his ordeal rekindled concerns about Beijing's tightening grip on the semiautonomous city.
Lam is one of five booksellers who went missing for months only to turn up later in police custody in mainland China.
Their disappearance sparked international concern that Beijing was eroding Hong Kong's considerable autonomy and rule of law.
But he defied the orders and instead spoke out about his ordeal of being detained secretly on the mainland. He was scheduled to lead this year's procession but backed out hours before it began, organisers said.
Albert Ho, a pro-democracy lawmaker who has been assisting Lam, said the bookseller noticed he had been followed by strangers the last two days.
"He feels increasingly concerned about his own personal safety so he made up his mind and decided not to attend," Ho said, adding police had been notified. He said the identities of the people following Lam were unclear.
From Victoria Park, protesters set off in sultry heat through skyscraper-lined streets on a route lined with hundreds of police officers that ended at city government headquarters.
They called for Hong Kong's unpopular Beijing-backed leader, Chief Executive Leung Chun-Ying, to step down and for the Chinese government to grant the semiautonomous city full democracy. These are longstanding demands of the protest, held on a holiday marking the day Beijing took control of Hong Kong in 1997 after more than a century and a half of British colonial rule.
In a speech in Beijing, Chinese President Xi Jinping said "no matter what difficulties and challenges we encounter, we are confident and determined that 'one country, two systems' will never be shaken."
Billy Leung, a charity worker, said it was important to join the protest to voice anger over Lam's case.
"The fact that he and others were so blatantly made disappeared should be an alarm for everyone in Hong Kong. If you have a critical mind and you start criticizing what you think is not correct and not right It could very well be you next time," he said.
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