Eggs, firecrackers and cobblestones were also thrown at the about 450 marchers and police.
A police car carrying Katalin Levai, a European parliament member and human rights activist, was attacked by anti-gay demonstrators.
A stone was slammed through the window of the car but she was unhurt.
Levai said: "This is outrageous and shameful that some 20 years after the change of regime, this is what we have ... such intolerance."
Istvan Ruzsacz, 32-year-old book editor who took part in the parade, said: "This [violence] is sad. Those people simply don't accept that gays exist and use this as an opportunity to advertise themselves."
Gabor Horn, a politician, was also attacked and a police car carrying Gabor Szetey - the first openly gay Hungarian politician - was also targeted.
Homosexuality was legalised in Eastern Europe after the collapse of communism in 1989 and Hungary legalised registered partnerships of same-sex couples last year.
A number of European countries have seen gay rights marches in recent days, with parades in the Czech Republic and Bulgaria last weekend marred by attacks.