Gay relationships are still a crime in Burma, but the law is not strictly enforced.
However activists say discrimination is rife and they want the law to be repealed.
Burma is a conservative, mainly Buddhist country where many gay men and women feel they cannot come out.
As such organisers decided against hosting a street parade, which is a traditional feature of gay pride events around the world.
Instead, around 400 people attended an evening of music and talks held in the ballroom of a hotel in Rangoon.
Other Burmese cities also took part in the event, which marks the International Day against Homophobia and Transphobia.
"In the past we didn’t dare do this. We’ve been preparing to hold this event for a long time… and today, finally it happened," gay make-up artist Min-Min told the AFP news agency.
Social taboos concerning sexuality have also had an impact on Burma’s sexual health.
A United Nations report published two years ago said that 29% of gay men in some Burmese cities were HIV-positive.