They were greeted with massive cheers from the crowds who lined the city's streets to watch the colourful annual event.
Around 40 uniformed officers from Northern Ireland, the Republic of Ireland and other UK police forces were amongst the 8,000 people who marched from Custom House Square in the city centre, watched by an estimated 15,000 supporters.
It was the biggest parade to take place in the region this year.
The PSNI has come under some criticism for allowing officers to join the parade, with accusations their participation will undermine the organisation's stated neutrality in the region.
However, the PSNI has insisted that participation in the event "is about inclusion and representation".
Belfast Pride comes amid heightened scrutiny throughout the UK on LGBT issues in Northern Ireland after the Democratic Unionists' parliamentary deal with the Conservative Party.
The region's continued ban on same-sex marriage is one of the issues preventing the restoration of a powersharing government in Belfast.
Sinn Fein has said it will only agree to re-enter a coalition administration if the DUP stops blocking a law change.
The DUP has used a controversial Stormont voting mechanism - the petition of concern - to prevent a law change, despite a majority of MLAs supporting the move at the last vote.
The party rejects any suggestion it is homophobic, insisting it is instead protecting the "traditional" definition of marriage.
Many participants in Saturday's parade carried banners and placards calling for the introduction of gay marriage.
A handful of posters with anti-DUP slogans were used by a small number of marchers.
Earlier, Irish Premier Leo Varadkar attended a gay Pride breakfast in Belfast. He insisted it was not a political gesture, but a "gesture of solidarity".