"I feel this is our duty. The government wants to block us with the ban, but I want to say that the people will not be afraid," said one protester, Winnie Leung, 50.
The march disrupted traffic, and many shops, including the Sogo department store, closed their doors.
Protesters burned Chinese flags and tore down banners congratulating China's ruling Communist Party, which will celebrate its 70th year in power on October 1.
In familiar scenes, some protesters smashed glass windows and surveillance cameras at a subway station exit.
Hundreds of protesters later targeted the government office complex, throwing bricks and petrol bombs through police barriers.
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Police responded by firing volleys of tear gas and using water cannon trucks to spray chemical-laced water as well as blue liquid that helped them identify offenders, in a repeat of confrontational scenes from the last several weeks of the protests.
Protesters retreated but regrouped in the nearby Wan Chai neighborhood, setting a fire outside a subway station exit and on the streets. They fled again after riot police advanced.
Police had earlier warned in a statement that the assembly was illegal and urged protesters to "stop their illegal acts."
The protests were triggered in June by an extradition bill that many saw as an example of China's increasing intrusion and at chipping away at Hong Kong residents' freedoms and rights, many of which are not accorded to people in mainland China.
Hong Kong's government promised this month to withdraw the bill, which would have allowed some criminal suspects to be sent to mainland China for trial, but protesters have widened their demands to include direct elections for the city's leaders and police accountability.
More than 1,300 people have been arrested amid increasing clashes between protesters and police, who demonstrators have accused of abuses.
The unrest has battered Hong Kong's economy, which was already reeling from the US-China trade war. It is also seen as an embarrassment to Beijing, which has accused foreign powers of fomenting the unrest.
Earlier Sunday, hundreds of protesters waved British flags, sang God Save the Queen and chanted "UK save Hong Kong" outside the British Consulate as they stepped up calls for international support for their campaign.
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With banners declaring "one country, two systems is dead," they repeated calls for Hong Kong's former colonial ruler to ensure the city's autonomy is upheld under agreements made when it ceded power to China in 1997.
Demonstrators held similar rallies September 1 at the British facility and last weekend at the US Consulate.
Police also banned a planned Civil Human Rights Front march on Aug. 31, but protesters turned up anyway. Clashes erupted that night, with police storming a subway car and hitting passengers with batons and pepper spray.
On Saturday, pro-democracy protesters and supporters of the central government in Beijing clashed at a Hong Kong shopping mall and several public places. Police arrested more than a dozen people and hospital authorities said 25 were injured.
The clashes amid the mid-autumn festival holiday came after several nights of peaceful rallies that featured protesters belting out a new protest song in mass singing at shopping malls.
Thousands of people also carried lanterns with pro- democracy messages in public areas and formed illuminated human chains on two of the city's peaks on Friday night to mark the major Chinese festival.
AP