The FBI said that the shooting appeared to be "street violence" and wasn't linked to terrorism.
Many of the victims were grazed and most of the wounds weren't life-threatening, according to a police news release. No deaths were reported.
The victims included 10 men, seven women, a boy and a girl. The children, both 10 years old, were grazed and in good condition. Police said at least two people were in surgery Sunday night.
Mary Beth Romig, a spokeswoman for the FBI in New Orleans, said federal investigators have no indication that the shooting was an act of terrorism.
"It's strictly an act of street violence in New Orleans," she said.
Officers were interspersed with the marchers, which is routine for such events. As many as 400 people joined in the procession that stretched for about 3 blocks, though only half that many were in the immediate vicinity of the shooting, said Police Superintendent Ronal Serpas.
Police saw three suspects running from the scene in the city's 7th Ward neighborhood. No arrests had been made as of late afternoon.
Second-line parades are loose processions in which people dance down the street, often following a brass band. They can be impromptu or planned and are sometimes described as moving block parties.
Police vowed to make swift arrests. Serpas said it wasn't clear if particular people in the second line were targeted, or if the shots were fired in a random fashion.
"We'll get them. We have good resources in this neighborhood," Serpas said.
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