Gray marched in Monday's parade with fellow members of "DC41," the group that was arrested earlier this year at the U.S. Capitol protesting D.C.'s lack of autonomy.
In a statement released before the parade, Gray said as millions celebrated Independence Day, he hoped "someday soon" all Americans will join D.C. in "celebrating its independence."
The mayor reiterated the fact the District paid nearly $4 billion in federal taxes last year but lacks a vote in Congress.
The parade also featured other politicians, including nearly every member of the D.C. Council and D.C. Delegate Eleanor Holmes Norton.