Organisers say that more than 7,000 people joined the protest, more than last year. A bigger rally is expected on Wednesday, the eighth anniversary of the massacre.
It is unclear whether rallies of this kind will be permitted next year as Hong Kong returns to Chinese sovereignty. However, Cheung Man-kwong a leader of the democracy movement, vowed that the protesters would be back.
As usual the demonstration was orderly but noisy with many bystanders showing their approval and stuffing money in collection boxes.
Martin Lee, leader of the Democratic Party, said: "Many people, I'm sure, have stayed away because of fear. You see so many photographers here taking pictures. Most of them are genuine, but I'm sure there are some from the Chinese government and people don't know what will happen to them if they're captured in these photos."
In past years, interest in the demonstrations had been falling off. But numbers swelled this year and last year, perhaps because participants believe they will no longer be able to protest against the Chinese government in public.
Hong Kong's incoming administration may not ban protests outright but there are already signs that administrative measures will be taken to hinder the organisation of rallies. Local councils have recently banned the display of a "Pillar of Shame" statue in two major parks. The statue, by the Danish sculptor Jens Galschiot, was commissioned to commemorate the massacre.