On Sunday, helicopters could be heard flying over the Serbian capital.
She said: "The government is here for all citizens and will secure the respect of rights for all citizens". "We want to send a signal that diversity makes our society stronger, that together we can do more".
Serbia's first openly gay prime minister joined several hundred activists at a gay pride march that was held amid tight security in the conservative Balkan country.
Seven years ago, more than 100 people, mostly police, were injured when a group of anti-gay protesters attacked the rally in Belgrade.
Ms Brnabic became prime minister in June this year and has tried to shift focus away from her sexual orientation, asking: "Why does it matter?"
"Today we walk together and together we will stress that problems still exist and that we want to work together to solve them", said activist Goran Miletic.
"O que Tony fez foi apenas praticar o chico-espertismo" — Eduardo Madeira
Rita Ferro Rodrigues insinuou esta quarta-feira que as acusações de plágio contra Tony Carreira terão um fundamento político. O que Tóni Carreira fez foi apenas praticar um dos desportos nacionais de maior sucesso: o chico-espertismo.
Brnabic was elected earlier this year amid Serbia's efforts to improve its image as it moves toward European Union membership.
Previous Pride Parades mostly took place in the shadow of protests of Christian believers, far right activists, and hooligan football fans who sometimes provoked violent clashes with the police causing unrest among the citizens.
Serbia's embattled gays have faced widespread harassment and violence from extremists.
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Belgrade's first Pride march, in 2001, ended with police firing in the air to disperse anti-gay nationalists and skinheads who stoned and beat participants.
Besides Brnabic the parade was attended by the minister of public administration and local self-government Branko Ruzic, minister of labor Zoran Djordjevic and the mayor of Belgrade Sinisa Mali.
Several pride events had been banned before marches resumed in 2014.
Quatro turistas americanas atacados com ácido em Marselha
Segundo uma porta-voz do Ministério Público, duas das turistas foram feridas no rosto neste domingo na estação Saint Charles. Os dois estariam a viajar entre Marselha e Paris quando o incidente aconteceu.
It is the first time that a Serbian prime minister joins the annual pride parade, which has been marred by violence in the past. A former ultranationalist who now says he is a pro-EU reformer, Vucic has declined invitations to attend the pride parade.