Caitlyn Jenner attends her first Pride in New York City

One reveller told E! News: "Everyone started chanting, 'Caitlyn, Caitlyn!' She got up and waved and smiled at everyone.

"Everyone was cheering and then Caitlyn got up and took some selfies."

The 65-year old star has kept a fairly low profile since her transition from Bruce Jenner and the appearance at Pride - which celebrates LGBT rights throughout the month of June and culminates with a parade and parties in major cities across the western world - is her first since she revealed herself to the world on the cover of the July issue of Vanity Fair magazine.

Caitlyn - who was filming her 'I Am Cait' docuseries at the event - watched transgender performer Candis Cayne do a special show, and at one point the actress dedicated the song 'I Am Woman' to the former Olympian.

Later, Caitlyn made it rain cash over Candis while she danced.

Caitlyn recently spoke of her excitement at being a "free person" now her true identity is out in the open.

She said: "I'm just going to go live life. I'm going to go enjoy life. I have nothing left to hide. I am kind of a free person, a free soul."

"[Up] to this point I would wear, you know, Bruce would wear, you know, sweatshirts with hoods on them so paparazzi can't get pictures and all that kind of crap, and I didn't want them to see if my fingernails were polished or, you know, on and on and on. It was just hell. To be able to wake up in the morning, be yourself, get dressed, get ready to go out, and just be like a normal person--that's a wonderful feeling to go through life."