Main thoroughfares were closed to traffic for the 18th edition of the march, which began at midday (1500) GMT in front of the Museum of Art on the main Paulista drag of Brazil's seething business hub.
Marchers at this year's event, first held in 1997 and the largest gay parade in the world, are urging the criminalization of homophobia in a country "without homo-lesbo-transphobia."
More than 300 homosexuals, tranvestites and transsexuals were killed in crimes of a homophobic nature in 2013, Brazilian NGO Grupo Gay de Bahia said in February.
Although the total was down 7.7 percent from 2012, the group said it still left Brazil top of the global league for homophobic homicides and urged government action.
The group estimated four in ten such crimes worldwide occur in Brazil.
Legislation designed to crack down on homophobia has met resistance from Catholic and evangelist lawmakers in parliament. However, the Brazilian Supreme Court in 2011 did recognize same-sex partnerships.
Sunday's participants sought to outdo themselves in racy garb -- one donning an outsize blonde wig topped off with football decor in a nod to the World Cup which will kick off in the city next month.
Last year's march drew an estimated three million revelers.
The parade was scheduled to finish in Republic Square around 0030 GMT.