With organizers putting the number of protesters at quarter of a million, the march could irritate China's Communist Party leaders and embarrass Hong Kong Chief Executive Donald Tsang.
Police said 40,000 people gathered at the city's Victoria Park, but thousands more protesters wearing "Hong Kong loves democracy" stickers joined as the march snaked between skyscrapers to government offices.
A government spokeswoman declined to comment on the march and demands of organizers.
The protest evoked memories of July 2003, when an economic slump and disaffection with the then chief executive, Tung Chee-hwa (董建華), drew half a million people onto the streets of the former British colony.
Tsang, who took over from Tung this year, refuses to budge on his reform proposals. Critics say the package is inadequate and sets no timetable for universal suffrage, which Hong Kong's post-colonial constitution, the Basic Law, allows for.
"Donald Tsang is a good leader, but he's only elected by 800 people, which means he only has to please them," said Andrew Wong, 40, who works for an export business. "I've brought my five-year-old daughter here to teach her what democracy is."
Despite widespread calls for full democracy, Beijing, which regained control over Hong Kong in 1997, has been unwilling to let the territory decide for itself when this should come.
Hong Kong's chief executive is anointed by Beijing and picked by a China-backed committee of 800 electors. Only half of the members of its 60-seat legislature are directly elected.
The Tsang administration's reform plan would double the size of the Chief Executive selection committee and add 10 seats to the Legislative Council, five of which would be directly elected.
Walking among banners that read "You want a clown or a chief executive?" and "Oppose bird-cage political reform," Paul Tsang, 83, said Hong Kong lacked direction without a plan for democracy.
"Early in the morning, you wake up with a schedule, to eat breakfast and do things during the day," the retired army officer said. "It's ridiculous to do something without a schedule."
Anson Chan, who was Tung's powerful head of the civil service for four years after he took over from British governor Chris Patten in 1997, joined a pro-democracy march for the first time.
"I just feel there are moments in one's life when you have to stand up and be counted," she told reporters.
The Chairman of the democratic party, Lee Wing-tat, said Tsang should respond to the high turnout by visiting Beijing in the next week to draw up a reform package that "includes a timetable element and reflects the views of the whole people."