The Labour Party leader was one of 25,000 people at the colourful event in Auckland. She described it as a "particularly special" experience.
Ms Ardern used the opportunity to applaud the parade's message of peace as she posted a selfie on Instagram.
"I’ve loved every Pride Parade I have been lucky enough to walk in, but this one was particularly special," she said.
"The streets were packed, and what an important message that sends about diversity and inclusiveness. Thanks to everyone who came!"
The Prime Minister was photographed walking alongside two gay colleagues - her finance minister, Grant Robertson, and Labour MP Louisa Wall.
Ms Ardern danced, posed for selfies, gave hugs to people in the crowd and cut the last rainbow ribbon to mark the event.
The parade also featured a rainbow-coloured police patrol car, police dogs, horses and motorbikes, a decorated cement truck, and a "peace bird" made with 500 painted aluminium rods.
Parade producer Shaughan Woodcock told the New Zealand Herald it was "very exciting" to have a Prime Minister at the Parade for the first time.
"I think the overall message is that we are being led by a progressive government, a government that stands for all groups not just some," he said.
"It also sends a very clear message outside of New Zealand that New Zealand is leading the way around basic human rights and human rights for our rainbow community, and that it is time for the other countries to step up."
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