"Democracy will prevail" read some banners as protesters sang and shouted slogans against the government of the semi-autonomous Chinese city, less than one month after the start of an official public consultation on a future electoral system.
"Because we are Hong Kong citizens, we must vote," said Sharon Tang, a 49-year-old trading company employee, adding that residents of the former British colony have the intelligence to choose their leaders.
Mainland Chinese tourists took pictures of the march as protesters chanted "End one-party rule!"
China, which took back Hong Kong in 1997, has promised that its people will be able to vote in 2017 for their next chief executive.
Currently the leader is elected by a 1,200-strong pro-Beijing committee.
But many fear that China will control the choice of candidates to secure the election of a sympathetic official.
"Hong Kong people have been on the streets over the years to strive for what we deserve, and what the Chinese government has not given us," Charles Tam, 25, told AFP.
One protester had red tape wrapped around her arms and covering her mouth to symbolise an inability to express one's views.
The marchers left Victoria Park -- named after the 19th century British monarch who oversaw Hong Kong's seizure from China -- in mid-afternoon and were to stage a rally in the Central financial district afterwards.
A huge poster depicting the city's current chief executive Leung Chun-ying with an egg plastered on his head was hung over the park lawn.
Organisers said more than 50,000 people were expected to take part in the annual New Year's Day protest, but turnout appeared lower than in some previous years.
Police estimated just 6,100 marchers left the park, although others were expected to join along the route.
Marchers aim to let the Hong Kong government and China's ruling Communist Party know "that Hong Kong people need and want real democracy", Johnson Yeung, convenor of rally organisers the Civil Human Rights Front, told AFP.
Other issues, such as calls for more labour rights and better urban planning, were also raised.
The "battle" must be won
Hong Kong has its own government and legal system, and its residents enjoy rights and freedoms unknown on the Chinese mainland.
But there are frequent protests in the city of seven million over slow progress towards full democracy, and discontent is also growing over sky-high housing prices and a growing wealth gap.
Yeung said he saw this year and the ongoing debate over the city's future democratic system as a "battle" that must be won.
"This rally will give the CCP (Chinese Communist Party) a clear message that if you don't give us real democracy, there will be direct action from the people," he said.
Mimicking the Occupy protests of 2011 in cities such as New York and London, some activists have threatened to take over the streets of Hong Kong's business district later this year to try to force officials to guarantee a fair electoral system.
A "New Year Civil Referendum" was also conducted in Victoria Park and over the Internet on Wednesday, and drew about 55,000 voters by late afternoon.
The poll asked Hong Kong people their preference on how candidates for the leadership post should be chosen.