Marchers were kitted out in costumes ranging from the pope to Barbie dolls as they expressed their support for the fight against discrimination.
“The aim is to highlight discriminatory structures in society and point out that all people have the power to make a difference,” organisers said in a statement.
Several Swedish politicians took part in the march about a month-and-a-half before parliamentary elections on September 19.
“It is a major demonstration for openness and tolerance. We want Sweden to be a modern country where it is possible to choose how and with whom you want to live,” Finance Minister Anders Borg told the TT news agency.
The head of the Social Democrat party Mona Sahlin, who said she has participated each year in Gay Pride, commented that “it is fantastic to see how things have changed over the last 10 years.”
The dressed up marchers, who also included Roman emperors and sailors, danced through the streets on the way to the “Pride Village” where several concerts were to be held Saturday night.