Gaga performed at the historic Circus Maximus. She is reportedly Italian-American and has long lobbied for gay rights in the United States.
Gaga also proudly cited her Italian roots this weekend, saying she was really named Stefania Giovanna Angelina Germanotta.
The popular American artist performed a piano-led version of "Born This Way" and "The Edge of Glory" in front of the thousands of cheering fans that packed the stadium.
Gaga's speech was intertwined during the concert; she described homosexuals as "revolutionaries of love" while calling for "full equality now," according to media reports.
"We're all from the same DNA. We were just born this way," she said. "I am a child of diversity."
Lady Gaga praised her audience during the concert for their "great courage" which she said inspires her. She said tolerance and understanding is required by everyone and everywhere.
Christians have expressed concerns that the message of essentially being "slaves to our biology," as sociologist Frank Furedi put it, is spreading.
Evangelical Chuck Colson commented earlier, "[S]aying that biology is somehow normative is not the same thing as saying that is determinative. We are free to choose how we behave, both for good and for ill.
"We are not 'slaves to our biology' unless we choose to make ourselves so by believing it to be the case. To say we are is beneath our dignity as humans made in the image of God – not to mention a denial of the power of God to transform us."
Italy does not legally recognize any type of same-sex union, although several local municipalities have recently passed laws providing for civil unions that allow same-sex partners to register.
Italy's highest court ruled against a bid to institute same-sex marriage last year in the two northern cities of Venice and Trento.
Local news agencies reported that the judges ruled that it is up to lawmakers, not the courts, to define marriage.
They said arguments in favor of changing the law were either "unfounded" or "inadmissible."
The ruling came after a civil suit launched by two homosexuals from Venice who filed after officials denied them a marriage license.
The EuroPride parade made its way through the crowded city centre and ended with the concert and rally in the Circus Maximus, an ancient Roman arena. Similar events were held in countries across the continent over the weekend.