Crowds danced, sang and waved rainbow flags at the event held outside the capital Kampala, the culmination of a week of celebrations.
One of those attending hoped it would be a "step forward" for the country.
But many people in Uganda strongly oppose gay rights, and homosexuality is punishable with a jail sentence.
Anti-gay legislation allowing for life imprisonment for "aggravated homosexuality" and banning the "promotion of homosexuality" was annulled by Uganda's supreme court last year.
One of those marching, Moses Kimbugwe, said: "It is about trying to show the wider community that violence, discrimination, harassment, stigma against LGBT (lesbian, gay, bisexual, transgender) people is bad.
"So we are here to send a message to the wider population that we do exist, and we want rights like any other Ugandan."
One of the organisers, Richard Lusimbo, told the AFP news agency: "For us, this is a celebration of who we are."
Events earlier this week included a transgender awareness day and a "Mr and Miss Pride" beauty pageant.
US President Barack Obama spoke out in favour of gay rights in Africa on his recent visit to the continent but some African leaders have argued homosexuality is not part of African culture.
Activists in Uganda have held a gay pride rally, a year since a law requiring homosexuals to be jailed for life was overturned.