Many at the protest wore black and white, to symbolise mourning.
Police said at least 4,700 people had gathered. Tens of thousands more are expected to attend a candlelit vigil on Thursday.
China still considers the Tiananmen protests "counterrevolutionary", but they are openly marked each year in Hong Kong because it is ruled under a separate political system.
Many of those taking part in the events see the occasion as vital to the preservation of Hong Kong's freedom of speech.
A University of Hong Kong poll released on Wednesday suggested that 69% of Hong Kongers think the crackdown was a mistake and 61% believe the Chinese government should stop condemning the protests.
"June 4 was a time when a group of people sacrificed their lives for democracy. We need to remember their efforts," said demonstrator Steve Chan.
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