Workers wore red shirts and waved red flags as they filed through the vast plaza, where first vice president Jose Ramon Machado Ventura and other officials looked on from a podium beneath a giant statue of Cuban independence hero Jose Marti.
President Raul Castro, in straw hat and white shirt, was shown on state-run television presiding over a May Day celebration in Cuba's second largest city, Santiago de Cuba at the eastern end of the Caribbean island.
The parades come on the heels of a Communist Party congress in April which approved more than 300 reforms intended to boost Cuba's fragile economy.
The changes encourage more private initiative and less state dominance of the economy, with the aim of ensuring the survival of Cuban communism put in place after the 1959 revolution.
Communist Party official Salvador Valdes Mesa, in a speech opening the Havana parade, said Cubans were celebrating "with happiness and enthusiasm renewed" by the party congress, which was the first in 14 years for Cuba's only legal political party.
"We do it because we support the accords of the party congress and the guidelines of the economic and social policy of the revolution," he said. "We parade and gather in streets and plazas across the country to ratify that socialism is our choice."
He said unity was the revolution's strongest weapon and pointed that "non-state" -- or private sector -- workers were among those parading through the Cuban capital.
One of the main economic reforms, in a departure from past policy, is an expansion of the private sector by the granting of more than 200,000 self-employment licenses since last fall.
The government also plans to slash more than a million jobs from its payroll, with hopes that many will go into business for themselves.
A recurring messages of Sunday's parade was the need for Cubans to work harder and better to strengthen the debt-ridden, unproductive economy.
The words "unity, productivity, efficiency" were flashed across the television screen, carried on banners and echoed by television announcers.
One parade spectator, restaurant worker Yusleidys Diaz, said Valdes was correct in saying Cubans were in a better mood because of the economic reforms, some of which have been in place for a while.
"People feel a little freer, like there are more possibilities, more change," she said.
But, she added, "We'll see how it goes."
Former leader Fidel Castro, 84, did not attend the May Day ceremony for the fifth consecutive year. He has made only a few public appearances since falling ill in July 2006 and ceding power to his younger brother, Raul.
He recently said he could not endure long periods under Cuba's intense tropical sun.