Organisers say 58,000 took part; police put the figure at 28,000. The marchers, some blowing whistles, carried banners reading "Justice, Equality, Democracy".
The rally marked the ninth anniversary of the former British colony's return to Chinese rule.
A pro-China rally held earlier in the day also attracted large numbers of people - police said 40,000 took part.
Partial democracy
Under Hong Kong's electoral system, its leader is chosen by an 800-member committee weighted in Beijing's favour.
It also has a 60-seat legislature, half of whose members are directly elected.
In 2003 and 2004, crowds of up to half a million took to the streets of Hong Kong to demand full democracy.
But correspondents say the numbers have fallen as the economy is doing well and new leader Donald Tsang is proving popular.
Cardinal Joseph Zen, who leads Hong Kong's Catholic community, urged followers praying on the march to show perseverance.
"If we persist, our aim will be met," he told them.
One of Hong Kong's most respected political figures, former chief secretary Anson Chan, addressed the rally to back calls for more democracy.
"Today I come to take part in the march in support of democracy but this doesn't mean we are trying to challenge the government," she said.
"Although the economy has been good it doesn't mean we don't need democracy. I call for people to come out and support democracy."
The pro-Beijing rally held earlier in the day included performances by Hong Kong-based Chinese troops, cultural groups and local pop stars.
But a speech by Mr Tsang was interrupted by pro-democracy MP Leung Kwok-hung, who was ushered away after he started heckling.
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