It was the first time the annual EuroPride march was being held in Central or Eastern Europe.
Several small counter-demonstrations were also held and some people hurled eggs and abuse at those in the parade.
A BBC correspondent says gay people in staunchly Roman Catholic Poland find it hard to be open about their sexuality.
Church leaders and politicians regularly speak out against homosexuality, Adam Easton reports from Warsaw.
EuroPride's organisers say they want to fight discrimination against homosexuality and promote a debate about legalising same-sex relationships in Poland.
Vuvuzelas and drumsThe colourful parade began to the sound of pounding drums and vuvuzelas, our correspondent says.
Floats covered in rainbow flags and balloons carried politicians from Poland and across Europe.
One person was dressed in a devil mask and horns - a cheeky reference, perhaps, to the controversy this year's EuroPride has caused in Poland, our correspondent says.
"We feel like they are 20 years behind the Netherlands," said Ad Bakker, a 39-year-old from Holland who travelled to Warsaw to show solidarity with Polish friends.
"But the atmosphere is good and we hope that EuroPride will help," he told the Associated Press news agency.
A Polish friend of his, Sebastian Blaszczyk, 36, said the situation was improving every year but Poland still had far to go in accepting gay people.
While EuroPride's organisers had hoped a minimum of 20,000 people from across Europe would join the event, police estimates put the figure at several thousand.
By comparison, more than a million people attended a gay pride march in Madrid three years ago, our correspondent adds.
Warsaw's authorities were given a petition with more than 50,000 signatures from anti-gay groups demanding the cancellation of the event.
British solidarityIn a recent survey, almost two-thirds of respondents said homosexual couples should not be open about their sexuality.
It is extremely rare to see gay couples holding hands even in Warsaw, Poland's most cosmopolitan city, our correspondent says.
Those who do face verbal or physical violence, such as Ryszard Giersz, 25, from a small town near the German border.
He won a small amount of damages in court last year after neighbours repeatedly verbally abused him and threw tomatoes and stones at him.
The UK's ruling Conservative Party sent its most senior openly gay member to the event.
Nick Herbert told the BBC his presence at the parade illustrated Britain's support for human rights.
"Equality, respect for human rights, is fundamental for the ethos of the European Union and I think it's entirely appropriate and right that the British Government should be represented here by me and the ambassador in saying that we stand full square behind these values," he said.
Mr Herbert said his party and its coalition partner the Liberal Democrats had a "really ambitious programme of reform and entrenching equality for LGBT [lesbian, gay, bisexual, transgender] people".
SIC: BBC