A sea of yellow umbrellas - the symbol of the campaign - moved slowly through central Hong Kong with crowds shouting for "true universal suffrage".
Organisers had said the rally would draw 50,000 people. An AFP reporter estimated that several thousand had joined the march by mid-afternoon but no police estimate was available.
Police warned that attempts to reoccupy main roads cleared of tented protest camps in December are likely.
The rally will gauge the public's willingness to keep fighting for free leadership elections. Authorities have made no concessions to activists' demands and tensions remain high in the semi-autonomous Chinese territory.
"We just want to express our frustration with the government in Hong Kong," said protester Ronnie Chan, who is in his 40s and works in sales and marketing.
"We understand there is very little we can do, but if we don't speak out nothing will change."
China promised Hong Kongers the right for the first time to vote for their next chief executive in 2017. But it ruled that nominees must be vetted by a pro-Beijing committee, a proposal which has been heavily criticised by activists.
Organiser Daisy Chan said the rally would show that the Occupy movement, as the protests were known, was a political awakening.
"In the past, these citizens were less political than they are right now. The Occupy movement woke people up."
Student activist Alex Chow said there was no plan to take back the streets.
"We don't have a plan (to reoccupy). If others want to do it, they will have to do it themselves," he told.
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