Jacinda Ardern has become the first prime minister to walk in a Pride Parade celebrating New Zealand's rainbow communities, joining thousands of people at the colourful event on Auckland's Ponsonby Road.

More than 70 floats and about 3500 participants made their way up the road in the sixth annual Pride Parade tonight, watched by thousands of onlookers.

Ms Ardern was part of a Labour Party contingent, including Finance Minister Grant Robertson and MP Louisa Wall.

The Prime Minister said the parade was "fantastic" and "wonderful" and it felt like it was bigger than every before.

"Our float sort of stays the same but everything else seems to get bigger," she told TVNZ reporter Matty McLean as she walked along.

Ms Ardern said the parade showed there is a lot of support for the LGBTQI communities.

"And ultimately this is a parade about diversity and inclusiveness. And I'm really proud of the work the team has done to make that real over the years and in our laws."

Ms Ardern said she thinks New Zealand has been turning the tide on inclusiveness for these communities for some time 'but it's always been incremental".

"But we can't be complacent. As long as there are kids in New Zealand, if they are LGBTQI, if they have high levels of mental health issues or self harm, that tells us that we still have work to do."

The PM broke off from the parade along the way to greet spectators with hugs.

The Green Party and National Party also had representatives in the parade, which is the highlight of the annual Pride Festival calendar.

Police also took part in the parade with a special Rainbow-decorated police car created to mark New Zealand Police's commitment to diversity and to acknowledge the important relationship between police and New Zealand's Rainbow community.