Nixon, commissioner of Victoria Police and the first woman to head an Australian police force, said it was vital to show support for gay and lesbian police officers.
"I think it's about Victoria police showing that they are committed to the whole community," she said.
"I talk about us being the people's police and I think that's what we are and it doesn't matter who you are," Nixon added.
Nixon lead 30 uniformed officers and a dozen police support staff in Melbourne's seventh annual Pride March to cheers and tumultuous applause.
Chief among the cheer leaders were the "Drag Squad" - six drag queens dressed as police officers, their blue uniforms, including police caps and handcuffs, complemented by large rhinestone necklaces, mini skirts and stiletto heels.
The Liberal Party's Denis Napthine, leader of the Opposition in the Victorian state parliament, condemned the break with tradition.
"It is inappropriate for the chief commissioner to take part in this march and it is also wrong for police officers to be paid to march in their uniforms," he said. - Sapa-DPA