More than 250 groups are taking part in the parade, which started in Baker Street in central London.
The US flag will join Ireland and Mozambique's at the front of the march, recognising recent gay rights progress in the three countries.
Yesterday, the US Supreme Court ruled same-sex marriage was a legal right across the United States, meaning 14 states with bans would no longer be able to enforce them.
Local road closures are in place for this year's Pride parade route, which finishes in Whitehall.
Police said there was extra security on the route, following terror attacks in France, Tunisia and Kuwait yesterday.
Also, police stepped up the security after a media report claimed that a suicide bombing plot by the Islamic State that targeted an Armed Forces Day parade here today was foiled.
Deputy Assistant Commissioner Helen Ball said they will lay extra security "to help protect and reassure the public".
In a statement, the police said: "While the UK threat level from international terrorism remains severe, we would like to reassure the public that we constantly review security plans for public events, taking into account specific intelligence and the wider threat.
