The annual celebratory march, now in its 43rd year, stopped for a minute to remember the victims shot dead in a gay nightclub in Orlando.
The parade got under way in the West End with an increased visible police presence.
For the first time, the Red Arrows will fly past the march and a rainbow flag is flying at Parliament.
Justine Greening, Secretary of State for International Development, announced she is in a same-sex relationship as the event was in full swing.
She tweeted: "Today's a good day to say I'm in a happy same sex relationship, I campaigned for Stronger In but sometimes you're better off out!"
Her announcement came as the director of Pride London, Michael Salter-Church, said this year's campaign slogan is No Filter.
He said: "No Filter is a call to arms. A call for people to be themselves, to live as their true selves.
"Now that might sound too obvious but too many people already self-censor. On this weekend whilst we celebrate the LGBT community, be your true selves, try and live without filter because that's a really important message that we want spread around the UK and the world."
London Mayor Sadiq Khan also joined the celebratory parade and singer Alesha Dixon will entertain revellers.
In a message before the march, he said London is "a city where the large majority of people of all communities, faiths and backgrounds, don't simply tolerate each other, but respect, embrace and celebrate our diversity".
At the scene: BBC reporter Catriona Renton
What a carnival atmosphere!
The buzz around the start of the parade was electric as we watched several people dressed as the character of Patsy from "Absolutely Fabulous" dancing on their bus with a giant high heeled shoe and lipstick on it.
Then the real stars of the show Edina and Patsy herself cut the ribbon. Then they were off.
Approximately 40,000 people from around 300 organisations paraded down Oxford Street in a sea of glitter and colour on their way to Trafalgar Square.
There was silence as people here paused to remember the 49 victims of the shootings in Orlando who were killed two weeks ago. The message was of solidarity.
The march takes place weeks after a gunman shot dead 49 people at a gay nightclub in Orlando in Florida.
The Metropolitan Police said it will mount a visible police presence to provide reassurance to those taking part.
Commissioner Sir Bernard Hogan-Howe earlier said there was "no intelligence" to suggest the march or the city would be targeted, urging people to join in but "take reasonable precaution".
Organisers expect that more people will attend the event this year to show support for the Lesbian Gay Bisexual and Transgender community.
Gay rights campaigner Peter Tatchell, who was involved in organising the first Pride, said people must unite against hate and this year both gay and straight Muslims will join the parade in a show of solidarity.
He said: "In the wake of the horrific mass murder of LGBT people by an Islamist gunman in Orlando, we are highlighting the need for dialogue, unity and solidarity between the Muslim and LGBT communities - to oppose all hate."
This year the parade will feature more than 100 Met Police officers and 200 military personnel, as the flypast will show support within the Armed Forces for the LGBT community.
Tens of thousands of people have joined the Pride parade through central London.