Police used tear gas against the rioters, who threw petrol bombs and stones at armed officers and tried to break through a security cordon.
A garage attached to the headquarters of the ruling Democratic Party was briefly set on fire, and at least one shot was fired at the building.
At least 50 people were injured, most reported to be police officers.
A number of people were arrested.
This was the first Gay Pride parade in Serbia since a march in 2001 was broken up in violent clashes provoked by far-right extremists.
'Hooligan gangs'
While the Gay Pride parade was moving though the city, several hundred protesters began chanting at those taking part as they tried to get close to the march.
"The hunt has begun," the AFP news agency reported them as saying. "Death to homosexuals."
Reports told of gangs of skinheads roaming the streets, throwing petrol bombs and setting off firecrackers as police battled to hold them back.
Thousands of police had sealed off central Belgrade to protect the event.
A gay pride march planned last year was cancelled amid fears of violence.
As Gay Pride ended the street protests gathered pace. I stood on Terazije boulevard watching demonstrators hurl rocks at armed police, who responded with tear gas. Some officers retreated, bleeding.
Battles erupted in other parts of the city, too, and there is considerable damage to street furniture, including bus shelters and signposts.
This is not the image Serbia wants the world to see. A successful gay parade was supposed to be an indication of how far this country has come from the ultranationalism and violence of the 1990s.
The protection of minorities is crucial to Serbia's EU aspirations. Chaos on the streets will anger a government determined to move on from a troubled past.
On Saturday, several thousand people had protested against the march. Right-wing groups say that homosexuality is contrary to Serbian religious and family values.
The Serbian Orthodox Church condemned the parade on Friday but also warned against violence against participants.
Democratic Party spokesperson Jelana Trivan said the violence had nothing to do with moral values.
"These are hooligan gangs which must be punished severely," Ms Trivan said.
"It is a shame for me to march, to stand for what I am, and to have thousands of cops protect me from hysteric [sic] nationalists," lesbian activist Milena, 36, told Reuters.
The BBC's Mark Lowen says homosexuality is still largely a taboo in Serbia, a conservative and religious nation.
This year's event was being seen as a test of how far the country has come from the ultra-nationalism and violence of the 1990s and on its path to EU membership.
Before the march, the head of the EU mission in Serbia, Vincent Degert, addressed around 1,000 gay activists and their supporters who gathered at a park in downtown Belgrade surrounded by riot police and armoured vehicles.
"We are here to celebrate the values of tolerance, freedom of expression and assembly," Mr Degert told the crowd.
