Organisers say that as many as 48,000 people took part but police estimates were far lower at just under 20,000.
The BBC's Juliana Liu in Hong Kong says the protest was far more low key than this time last year when organisers said 500,0000 people demonstrated.
In June a Beijing-backed reform package was rejected by Hong Kong legislators.
The reforms would have given Hong Kong voters the right to choose their leader for the first time - subject to approval by China - and foreshadowed the huge so-called umbrella protests that followed for several months afterwards.
Campaigners dismissed the reforms as offering only "fake democracy".
Our correspondent says that the lower number of protesters this year has resulted in questions as to whether the public is growing tired at the failure of the pro-democracy movement to gain concessions from the Chinese government.
Some have expressed disappointment that after nearly three months of paralysing the city's streets, they were unable to secure greater voting rights from China.
Protesters on Wednesday congregated at Victoria Park to march in sweltering conditions to city government headquarters. Many held yellow umbrellas, the symbol of last year's demonstrations and the preferred tool of defence against police pepper spray.
The demonstrators chanted derogatory slogans against Hong Hong's Beijing-backed leader CY Leung, demanding his resignation.
Some carried banners calling for universal suffrage or for the downfall of the Communist Party, while others carried colonial-era Hong Kong flags.
The demonstrators were in places heckled by pro-Beijing groups who hurled insults at them as they made their procession through the streets, with police often having to separate the two sides.
Earlier in the day Mr Leung urged people to look to the future, Reuters news agency reports.
"Even though political reforms have taken up considerable effort and time, the Hong Kong government will strengthen economic development and improve people's livelihoods," he told a flag-raising ceremony to mark the anniversary.
Tens of thousands of people in Hong Kong have attended a pro-democracy rally to mark 18 years since Britain handed the territory back to China.