South African authorities had assured organisers it was safe to proceed with the march.
Thousands of people gathered for the Pride march in South Africa's largest city Johannesburg on Saturday despite a US embassy warning of a possible terror attack.
The event took place under heavy security in the upmarket district of Sandton, identified by the US embassy as the potential target.
South African authorities had assured organisers it was safe to proceed with the march that returned after a two-year break because of the coronavirus pandemic.
The US warning angered Pretoria, with President Cyril Ramaphosa calling it "unfortunate" and causing "panic" in the country.
"We are always fighting for visibility and we are always in danger, so me hearing of the terrorist attack (warning), it didn't even bother me," said Anold Mulaisho, an LGBTQ activist.
"Either way, if I die my family already rejected me anyway, so no one is gonna get to miss me," Mulaisho told AFP.
State Department spokesman Ned Price on Friday praised security efforts in South Africa and Nigeria, where the United States issued a separate security alert that led to the evacuation of families of US government personnel.
"We deeply appreciate efforts that they make to protect their interests and in turn our interests," Price told reporters.
South Africa has some of the most progressive laws in the world when it comes to LGBTQ rights. It was the first country in Africa to legalise gay marriage. But in practice, stigmas still persist.
Also attending the 33rd Pride march on Saturday was medical doctor Lethuxolo Shange, who said "queer people... are killed every single day".
"We still have a very long way (to go), the law is there but the practice and the mindset in our community hasn't changed. We are still working on that, and hoping for a better future."
(Except for the headline, this story has not been edited by NDTV staff and is published from a syndicated feed.)