Ashok Chauhan, an advertising executive in his mid-40s, said he cycled 8 kilometers (5 miles) to the parade to support his friends in their choice of sexuality.
"It's a matter of choice, and I think each one of us has the right to choose," Chauhan said.
The activists also demanded that people be allowed to record the gender of their choice in the national census, voter identity cards and other government documents.
In 2009, the Delhi High Court decriminalized gay sex, which until then had been punishable by up to 10 years in prison.
In some big Indian cities, homosexuality is slowly gaining acceptance, and a few high-profile Bollywood films have dealt with gay issues.
Still, many marchers Sunday covered their faces with scarves or wore masks because they have not told their friends and families about their sexuality.