The march, originally organised by the Civil Human Rights Front, set off from Salisbury Garden in the shopping district of Tsim Sha Tsui to the West Kowloon terminus of the high-speed rail link, the South China Morning Post reported.
The front's vice-convenor Figo Chan Ho-wun, alongside three pan-democrats, on Saturday pledged to push ahead with the unauthorised procession as a form of civil disobedience.
Kowloon Mosque and Islamic Centre as well as Chungking Mansions - home to a lot of South Asian restaurants and popular with African mobile-phone dealers - are on high alert after a bloody assault on the front's convenor Jimmy Sham Tsz-kit on Wednesday night.
On the eve of the unauthorised march, Sham appealed to Hongkongers to protect each other and not to label anyone with their ethnicity.
On Friday, the police rejected an application for the Sunday march called by the Civil Human Rights Front against the Carrie Lam-led government's anti-mask ban.
In its letter of objection, the police cited violent incidents stemming from earlier protests.
The force has refused three other applications by the front in the past three months, on similar grounds.
On all occasions, thousands marched on despite the bans.
Apart from echoing the main demands of the protest movement, which has been continuing since June, the front also called on the government to abolish the anti-mask law it brought it earlier this month.
The law stipulates a penalty of jail for up to one year and a fine up to HK$25,000 ($3,200) for wearing any face covering at a public gathering.
( With inputs from IANS )