Carrying banners saying "raise our salaries" and "stop outsourcing contracts", more than 9,000 workers gathered at the city's main roundabout before marching to the state palace.
Around 16,000 police and soldiers were deployed to guard the protest.
Many workers said they were worried about job security.
"Living costs have gone up but our salaries remain unchanged. We only make enough to eat but there is no money in the bank, no money for our children's education," protest leader Muhamad Rusdi said.
Raising the minimum wage was the main demand for about 5,000 workers, domestic helpers and activists who held a noisy procession through central Hong Kong.
"The problem with Hong Kong is that the wealth is concentrated on a small number of people, many people are still living in poverty," said protester Fernando Cheung.
"That's why Hong Kong has one of the world's highest income gaps between rich and poor. We urgently need a redistribution of wealth," he said.
In Manila, about 3,000 workers and activists marched to the presidential palace, bearing a giant effigy of Philippine President Benigno Aquino.
They carried banners saying "raise our pay now" and "fight for socialism".
But in a Labour Day speech, Aquino said: "If our wages go even higher, what foreign investor will put his money here? Our economy could fall even further behind."