Victorian Premier Daniel Andrews has called on the Federal Government to legalise same-sex marriage, as thousands of people took to the streets for Melbourne's Midsumma Pride March.

The event is held to celebrate the state's gay, lesbian, bisexual, intersex and transgender community.

Federal Opposition Leader Bill Shorten also marched through the streets of St Kilda, as did players from the St Kilda Football Club.

It was the first time in the event's 21-year history that AFL footballers officially marched under the club banner.

Organisers of the annual event said this year's theme focused on marriage equality.

Mr Andrews said equality was not negotiable and it was time for the federal marriage act to change.

"I think Australians are getting pretty sick and tired of this notion that we'll have a plebiscite and Australians will basically decide the matter, and I've seen some politicians in the Federal Government saying that, whilst at the same time other members of the Government are saying that won't matter," he said.

"Discrimination is wrong in any form, it's not negotiable, and it's not for any politician to tell people who they can marry, how they can express their love.

"It is not for any politician to tell anyone in our community their relationship is secondary or not as as much value as mine or theirs."

Shorten promises legislation if Labor elected

Prime Minister Malcolm Turnbull has backed gay marriage and promised to hold a public vote to decide the issue if his government wins the next election.

Members of the Federal Government last week said they would vote against same-sex marriage in Parliament even if the plebiscite was in favour of change.

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Mr Shorten promised if Labor was elected later this year, it would introduce legislation for marriage equality within its first 100 days in office.

He said Labor MPs would be allowed to vote as they wished.

"Everyone here [at the march] just knows marriage equality should happen, people can't understand why a powerful minority are so hung-up about marriage equality," he said.

Greens leader Richard Di Natale questioned why there was no same-sex marriage in Australia, given both Liberal and Labor leaders supported it.

"It's a question of courage and leadership now to see whether, at a time, just like the republic, when we have the leaders of the three major political parties all supporting marriage equality ... that we go to the Parliament and end discrimination."

A small group of silent protesters tried to disrupt the march by sitting on the road in its path, but police were on the scene and it diverted around them.

Formal apology for gay men given convictions

The Victorian Government also announced gay men convicted of homosexuality crimes in Victoria before 1980 would receive a formal apology in May.

Mr Andrews said the apology, to be given in Parliament, would acknowledge the wrongs of the past.

"Those men have carried that conviction, it has had all sorts of dramatic affects on their lives," he said.

"It's restricted their ability to travel, it's cost them jobs and for a conviction that really shouldn't have stood in the first place.

"We want to send a message that the Victorian Parliament and the Victorian community realises the injustice those 36 years of carrying this conviction has meant."