That followed weeks of protests against a now-suspended extradition bill that opponents say would undermine Hong Kong's much-cherished rule of law and give Beijing powers to prosecute activists in mainland courts, which are controlled by the Communist Party.
Hong Kong has been rocked by a month of huge marches as well as a series of separate violent confrontations with police, sparked by a law that would have allowed extraditions to mainland China.
During an unauthorised protest on 12 June, police used rubber bullets, beanbag shots and 150 canisters of tear gas against demonstrators.
Since the protests kicked off, Chinese censors have worked to ensure no news of the Hong Kong demonstrations reaches the 1.4 billion people on the mainland where dissent is not tolerated.
Chanting "Free Hong Kong" and words of encouragement to their fellow citizens, wave after wave of demonstrators streamed by a shopping district popular with mainland visitors on a march to the high-speed railway station that connects the semi-autonomous Chinese territory to Guangdong and other mainland cities.
More protests are being planned for the coming weekends. There were no plans to enter the station, he said.
Beijing denies interfering but nevertheless, many people in Hong Kong see the proposed extradition law as more tightening of the mainland's control over the financial hub.
Police put the station on lockdown, with water-filled barriers about 2m-high set up around it.
Massive protests, which drew up to two million people, forced the government to suspend the bill.
Multiple university student groups confirmed they had rejected an approach this week by Lam's administration for closed door talks arguing it was "too little, too late". Shops selling food and beverages were also to be closed.
At times they shouted slogans in Mandarin, mainland China's official tongue, as opposed to Hong Kong's main language Cantonese.
Whatever the crowd size, numerous protesters wore black T-shirts and were holding up signs and boards that read "Rise up, Hong Kong", "No Extradition Bill" and "No rioters, Only despotic rule". "We hope the police will look into issues of police's use of force and respect the media's right to press coverage and freedom of the press, and protect the people's right to know", a joint statement issued by the Journalists Association and the Press Photographers Association said.
Hundreds of police lined the route, temporarily closing some roads and diverting public transport.
Passengers who sought to buy tickets between Hong Kong and Shenzhen reportedly saw them listed as sold out for the expected duration of the protest.
Organisers produced witty advertisements to urge people to join the march.
Since the parliament siege Beijing has vocally thrown its support behind Lam, calling on Hong Kong authorities to pursue all those involved in the ransacking.
A protester holds a placard with the portraits of Xi Jinping, Carrie Lam and the Chief Secretary for Administration of Hong Kong Matthew Cheung.
But student leaders said at a news conference that they do not think Ms Lam is being honest.
He was one of the only protesters during the police siege to show himself unmasked.
Almost 2,000 people marched in the northwestern residential district of Tuen Mun on Saturday to protest against middle-aged mainland women they accused of brashly singing and dancing to pop songs in Mandarin.