Clutching umbrellas, adopted as a protest symbol, they observed 87 seconds of silence - a reference to the 87 times police fired tear gas on protesters.
The rally will see key protest leaders address the crowd later.
Activists are calling for full democracy in Hong Kong.
The rally is being held at the Admiralty protest site, which saw many thousands of protesters fill its streets after police fired tear gas on protesters at the height of the movement.
Protesters carried banners  at the rally. The above banner reads: "I want a real election"
Those attending the rally chanted slogans before they observed the silence.
Others staged dance performances as part of the rally
On Sunday protest leaders abandoned plans to hold a ballot over whether to accept several government concessions.  Protest leaders said they decided to "adjourn" the vote after disagreements over its format and apologised for a "lack of discussion" with protesters.
Last week  student protest leaders and government officials held talks for the first time, but made little progress towards ending the impasse.
Thousands of people  in Hong Kong have turned up for a rally outside the city's government headquarters to mark one month of protests.