The march – involving up to 20,000 supporters – started at Writer’s Square in Donegall Street and advanced towards Belfast City Hall for the lunchtime rally.
The organisers said the province is “out on a limb” as the only part of the UK and Ireland not to change its laws.
Same sex marriage legislation has been rejected four times by the NI Assembly.
The rally was organised by the Northern Ireland Branch of the Irish Congress of Trade Unions (ICTU), Amnesty International and the Rainbow Project.
Patrick Corrigan of Amnesty International told the rally that it was “simply unacceptable for the state to discriminate against people on the grounds of their sexual orientation or gender identity”.
He added: “Amnesty International believes that states should end discrimination on this basis and instead ensure that all families are equally protected before the law.
“That’s why we are on the march today and why we will walk every step of the way with you and the LGBTI community, and why we will not stop until every one of us can enjoy the same rights and recognition before the law.”
The singer and actress Bronagh Gallagher performed at the event.
Snow Patrol’s Bangor-born frontman Gary Lightbody was also present.
In a statement, the ICTU said: “In 2005, history was made when Northern Ireland became the first place in the UK to hold a civil partnership.
“Ten years later, with every other part of these islands recognising marriage equality, citizens in Northern Ireland have effectively been left behind.”
The ICTU added that its members had “played a leading role in campaigning for a Yes vote in the marriage equality referendum in the Republic of Ireland”.
Voters last month backed same-sex marriage in the Republic by 62 per cent in a referendum.