The pair, sporting white cowboy hats, waved from their car at crowds of well-wishers lined 10 deep along the 2.8-mile (4.5-kilometer) parade route under sunny skies. They later joined hands and pushed a red button to launch the parade, one of the world's largest.
The Calgary Stampede is a 10-day exhibition and rodeo that celebrates the western Canadian way of life.
Canada is the first official overseas trip for the couple since their April 29 wedding, and the newlyweds were cheered almost everywhere they went. They celebrated Canada Day with hundreds of thousands on Parliament Hill, did an impromptu walkabout in Quebec City, raced in dragon boats on bucolic Prince Edward Island and went canoeing in the wilds of the Northwest Territories.
A much talked-about highlight was the race in Prince Edward Island when the prince's boat defeated Kate's.
William's consoling hug and Kate's playful response, she shoved the prince as if to push him into the water, revealed their competitive, loving and fun side, and warmed Canadians' hearts.
"Both of them have charmed the people of Canada a great deal," said 60-year-old Linda Patton, who lives on Prince Edward Island.
The Duke and Duchess of Cambridge left for Los Angeles for a weekend of events that include a polo match in Santa Barbara and a visit to Skid Row.
There was a moment on Thursday that almost amounted to a faux pas, when the young prince and his bride appeared to snub their western Canadian host by not donning white cowboy hats upon arrival at airport, a time-honored Calgary tradition.
But ruffled feathers were smoothed when the royal duo turned up for a rodeo show later in full western regalia, including the hats.
"Well, this is different," the prince said with a laugh as he touched the tip of his cowboy hat at a reception Thursday night.
"We have been hugely struck by the diversity of this beautiful country: from Ottawa to Quebec" from Prince Edward Island to the Northwest Territories" and now the excitement of Calgary - and what about these fantastic white hats."
William said the nine-day trip to Canada exceeded expectations and promised to return. The couple was decked out in western wear, with buttoned-down shirts and jeans.