Tensions have soared since the death on Friday of Alex Chow, 22, who succumbed to head injuries sustained during a fall as police skirmished with demonstrators inside a car park last weekend.
The huge rally - one of the few in recent months to obtain police approval - means Hong Kong has witnessed 24 weekends of protest in what has become the most profound challenge to Beijing's rule since the 1997 handover.
Many at the peaceful and sombre rally wore black.
"I want an independent inquiry because that proves Hong Kong is still a place with rule of law," a 35-year-old woman, who gave her surname Wong, told AFP, echoing the movement's core demand for an investigation into police tactics.
Wong, who said she moved to Hong Kong from the mainland three years ago, said she also wanted to see less confrontational tactics from hardcore protesters.
"I think non-violent ways can also win," she said.
The rally came after police brought charges against at least seven lawmakers who now face up to a year in jail if convicted. Three were arrested overnight, three attended appointments on Saturday evening to be booked, and one refused to appear.