In a Facebook post, the state-run National Centre for Sex Education (CENESEX) blamed "new tensions in the international and regional context" for the cancellation.
Activists have condemned the move and questioned the government's motives.
Cuba was set to approve same-sex marriage under a new constitution, but removed the clause after protests.
President Miguel Díaz-Canel publicly backed the change in September, saying it was "part of eliminating any type of discrimination in society".
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But the government backtracked after an outcry from religious groups.
Cuba holds events at this time every year to mark the International Day Against Homophobia on 17 May.
Why has the march been cancelled?
CENESEX posted on Facebook that it was officially cancelling the Cuban Conga against Homophobia and Transphobia "in compliance with the policy of the Party, the State and the Revolution".
The group is led by Mariela Castro, daughter of the Communist Party of Cuba's leader Raúl Castro.
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