Waving American flags, with some donning Donald Trump logo hats and t-shirts, protesters unfurled a banner depicting the U.S. president standing astride a tank with a U.S. flag behind him.
Another banner read "President Trump, please liberate Hong Kong."
Trump this week signed into law congressional legislation that supported protesters in the China-ruled city, despite angry objections from Beijing.
"Thank you President Trump for your big gift to Hong Kong and God bless America," shouted a speaker holding a microphone as he addressed a crowd at the start of the march.
Earlier on Sunday, hundreds of protesters, including many families with children, marched in protest against police use of tear gas.
Carrying yellow balloons and waving banners that read "No tear gas, save our children", the protesters streamed through the city's central business district towards government headquarters on the main Hong Kong island.
There has been relative calm in Hong Kong for the past week but activists have pledged to maintain the momentum of the movement with three marches planned for Sunday. All have been approved by authorities.
Anti-government protests have rocked the former British colony since June, at times forcing government offices, businesses, schools and even the international airport to shut.
"We want the police to stop using tear gas," said a woman surnamed Wong, who marched with her husband and five year old son.
"It's not a good way to solve the problem. The government needs to listen to the people. It is ridiculous."
Police have fired around 10,000 rounds of tear gas since June, the city's Secretary for Security, John Lee, said this week.
FURTHER PROTESTS
Sunday's marches came as a top Hong Kong official said the government was looking into setting up an independent committee to review the handling of the crisis, in which demonstrations have become increasingly violent.
The protesters in Hong Kong are angry at what they see as Chinese meddling in the freedoms promised to the former British colony when it returned to Chinese rule in 1997.
China denies interfering and says it is committed to the “one country, two systems” formula put in place at that time and has blamed foreign forces for fomenting unrest.
On Saturday, secondary school students and retirees joined forces to protest against what they called police brutality and unlawful arrests.
While Saturday's rallies were mostly peaceful, public broadcaster RTHK reported that police fired tear gas and rubber bullets to disperse protesters after a vigil outside the Prince Edward metro station. Some residents believe that some protesters were killed by police there three months ago. Police have denied that account.
Further protests are planned through the week and a big test of support for the anti-government campaign is expected on December 8 with a rally planned by Civil Human Rights Front, the group that organised million-strong marches in June.
Another march is planned on Sunday in the popular shopping district of Tsim Sha Tsui.
That march is scheduled to end in Hung Hom, a district near the ruined campus of Hong Kong Polytechnic University.
The campus turned into a battleground in mid-November when protesters barricaded themselves in and faced off riot police in violent clashes of petrol bombs, water cannon and tear gas.
About 1,100 people were arrested last week, some while trying to escape.On Friday police withdrew from the university after collecting evidence and removing dangerous items including thousands of petrol bombs, arrows and chemicals which had been strewn around the site.