The march celebrated “Generations of Love” and commemorated the 50-year anniversary of the Stonewall Inn uprising in New York, which ignited the Pride movement.
It is followed by hours of partying and live music in Preston Park – headlined by Kylie Minogue – and at venues around the city.
Around 300,000 people are expected to attend through the course of the day.
Meanwhile in Northern Ireland, Irish premier Leo Varadkar has joined Belfast’s Pride parade for the first time.
Varadkar posted photos on Twitter as joined thousands of people attending this year’s Pride march in the city centre.
His presence will be seen as significant as same-sex marriage remains a contentious political issue in Northern Ireland.
The parade, which kicked off from Custom House, is making its way through the city.
Varadkar’s visit comes two years after he attended a Pride breakfast in Belfast to promote the rights of the LGBTQ community.
Speaking in front of thousands of people at Belfast’s Custom House Square, he said: “I want to say how great it is to be in Belfast today.
“I always say the biggest parade that happens in Northern Ireland isn’t orange or green, it’s rainbow-coloured. It’s really great to see it today.
“I had a real honour today to walk with Lord Hayward, who, along with Conor McGinn, put the legislation through the Commons and Lords to bring about marriage equality here in a few months’ time. So we really want to thank them.
“What we see today in Belfast is Northern Ireland at its very best. Open, inclusive, diverse and for everyone. Thank you so much and happy Pride.”