The respective groups joined forces at the Angel of Independence monument to applaud their national team for securing a 2-1 victory against South Korea.
The Mexican team's second straight win saw Carlos Vela manage a first-half penalty before Javier Hernandez scored his 50th international goal.
While some supporters could be seen waving rainbow flags, others brandished Mexican flags, and some even sported both.
"We are very glad to see that these two groups can share the space," said Karla Vera, 27, who came to the pride march with her girlfriend in matching green soccer jerseys.
"This is a very important day for Mexico."
The coming together of the two groups comes after Fifa fined the Mexican Football Federation $10,000 (£7,500) for "discriminatory and insulting chants" anti-gay chants during Mexico's opening match against Germany.
The Mexican soccer federation has repeatedly been fined by Fifa over fans shouting the anti-gay slur in recent years.
Fans use the chant - which literally translates as male prostitute – as a device to distract players trying to score goals. Those who support the chant say it is more similar to coward or wimp.
Eduardo Reyes, 24, said he was initially scared about going to Saturday's gay pride celebrations due to being aware football fans could inundate the route of the parade.
"Soccer is sometimes a little macho," he said, adding that he dies a little inside every time he hears the anti-gay slur during matches. "If you think about it, they're attacking their brothers."
Reyes went to the march dressed as a Mexican cowboy - wearing a large embroidered sombrero and bolero jacket with underwear briefs.
On Saturday, the Mexican team tweeted to thank its fans for not shouting the slur during the South Korea match - saying Mexico "won on and off the pitch."
Mexico has made great progress in terms of LGBT+ rights – with the Mexican Supreme Court ruling in favour of same-sex marriage in 2010. This is five years before America did so.
But the following year Congress rejected legislation proposed by President Enrique Pena Nieto meant to codify the right nationwide.
Gay marriage is permitted in Mexico City and in several states but elsewhere in the country, the process continues to be bureaucratic and drawn out.
Tolerance of sexual diversity in particular indigenous cultures is prevalent - especially among Yucatan Mayas and Isthmus Zapotecs.
But a 2016 study by the National Autonomous University of Mexico showed Mexico ranked second after Brazil in Latin America for anti-LGBTQ crimes. What’s more, the country's National Human Rights Commission has branded the culture patriarchal and macho.
However, the convergence of the different groups on Saturday showed a more inclusive, progressive and tolerant side of the country.
Crowds of football fans delighted in celebrating the win side by side with men dressed as samba dancers and sweet-15 princesses.
"You can feel the harmony among everyone," 18-year-old Renata Inurreta, who flooded onto the streets with her friends immediately after the match, said. "This is the essence of Mexico - that we love the party."
Tens of thousands of gay rights supporters marched through Mexico City on Saturday for the pride march which has been happening for 40 years in the city.
Additional reporting from Associated Press