For the first time since August, police allowed a rally by the Civil Human Rights Front, a pro-democracy group.
Organisers said an estimated 800,000 took part while police put the number at 183,000.
Police said 11 people were arrested in raids ahead of the rally and that a handgun was seized.
The protests started in June over a controversial extradition bill, and have now evolved into broader anti-government demonstrations.
"I will fight for freedom until I die," said June, a 40-year-old mother in Victoria Park, where protesters gathered.
In a statement on Saturday, the government called for calm and said it had "learned its lesson and will humbly listen to and accept criticism".
At the end of the march, the government said it was looking forward to finding "a way out for Hong Kong's deep problems through dialogue".
Monday will mark six months since a mass rally on 9 June that triggered the political crisis that has gripped the semi-autonomous Chinese territory.
Organisers of the rally, the Civil Human Rights Front, said this was the government's last chance to meet their demands, which include an independent inquiry into the police's handling of the protests, an amnesty for those arrested, and free elections.
Clashes have become increasingly violent in recent months, raising the question of how the unrest can be stopped.
Around 6,000 people have been arrested and hundreds injured, including police, since June.
Yet, Sunday's march was largely peaceful, with few reports of violence despite tensions running high at times.
As the march neared its end, protesters held their mobile phone torches aloft, illuminating the streets as they chanted anti-government songs.
Meanwhile, the High Court and the Court of Final Appeal were vandalised and attacked with suspected petrol bombs, police said.
The attacks on the courts were widely condemned by march organisers, police and the government, which it said "undermined Hong Kong's reputation as a city governed by the rule of law".
Earlier, police said a Glock semi-automatic pistol and 105 bullets were discovered during raids along with a haul of knives and firecrackers. It was said to be the first time that a handgun was found since the protests began.
The city has been relatively calm since pro-democracy candidates won a landslide victory in local council elections two weeks ago.
But discontent with Hong Kong's Chief Executive, Carrie Lam, has not disappeared, with many protesters demanding more concessions from her government.
"No matter how we express our views, through peacefully marching, through civilised elections, the government won't listen," one 50-year-old protester, named only as Wong, told AFP news agency.
Giving money and power to government is like giving whiskey and car keys to teenage boys.