Many marchers in Havana and other cities wore red or national colours, and held banners supporting Socialism.
The reforms were approved last month at Cuba's first Communist Party Congress in 14 years.
They include to allowing Cubans to buy and sell property, and the release of self-employment licenses.
Salvador Valdes Mesa, the head of Cuba's single government-approved trade union and the only official to speak at the Havana parade, said Cubans were showing their support for new economic policy.
"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 told the crowds.
However, details of the reforms are yet to be published and some in Havana expressed their impatience to see the guidelines.
The government is planning to cut hundreds of thousands of state jobs as it pushes limited market reforms.
The BBC's Michael Voss in Havana says the authorities insist this is not a return to capitalism.
But they know that change is needed if the system is to survive, and with average salaries at barely $25 (£15) a month, the pressure is on change the island's unproductive Soviet-style economic model, he reports.
In a break with tradition, this year there were no giant portraits of Marx, Engels or Lenin lining the parade route in revolution square.
President Raul Castro led a march in Santiago de Cuba, while in Havana that role fell to Jose Ramon Machado Ventura, the 80-year-old appointed recently as the party's second secretary.
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