The march on Sunday could irritate China's Communist party leaders and embarrass Donald Tsang, the Hong Kong chief executive.
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. Organisers put the number of protesters at nearly 250,000.
A government spokeswoman declined to comment on the march and demands of organisers.
The protest evoked memories of July 2003, when an economic slump and dissatisfaction with Tung Chee-hwa, the chief executive at the time, drew 500,000 people on to 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, for which Hong Kong's post-colonial constitution, the Basic Law, allows.
Donald Tsang refuses to shift
on his plans for reform
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, a former army officer, said Hong Kong lacked direction without a plan for democracy.
"I just feel there are moments in one's life when you have to stand up and be counted"
Former head of civil service
"Early in the morning, you wake up with a schedule, to eat breakfast and do things during the day," he said. "It's ridiculous to do something without a schedule."
Anson Chan, who was Tung's head of the civil service for four years after he took over from Chris Patten, the British governor, 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.
Lee Wing-tat, the chairman of the Democratic party, 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".