The annual event, usually in August or September, is one of the Himalayan nation's most popular festivals. Families who have lost a relative during the past year lead a cow in the procession, or dress a boy as the animal, to make sure their lost loved one has a place in heaven.
"We believe in this, and it is our culture," said Pritan Bariya, a 28-year-old graphic designer who lost his sister two months ago. "It will lead my sister to the doors of heaven".
In Hinduism the cow is considered sacred. Many Nepalese use the animal's urine and dung for religious purposes and the slaughter of cows is banned in country.
According to legend people waded through the mythical Baitarni River holding the tail of a cow to reach heaven.
During the 17th century Nepal's ruler, King Pratap Malla, is said to have invited people to march in costumes and perform stunts and plays in front of his palace to make his grief-stricken wife smile after the death of their son.
The queen eventually smiled and accepted the loss of her son. Many people believe the parade has continued ever since.
Boys in the procession also wear elaborate paper headdresses to impersonate cows, as well as white loin cloths and loose saffron vests. If families have lost a female member, the boys are dressed as girls in brocaded crimson blouses and saris.
Relatives and friends offer milk, beaten rice, fruits and sweets in leafy trays to the participants.
"It is fun to be dressed like this and receive lots of sweets and fruits," said Dilip Dangol, 10, who had a marigold garland dangling from his neck.
The festival also offers an opportunity to ridicule public officials by depicting corruption and inefficiency in government offices through satire and comics.
During this year's festival, two men wrestled in a satire about Nepali politicians who have struggled and failed for four years to produce a constitution after the monarchy was abolished in 2008.
"It is nice to come and see this," said Tommy Torrads, a 28-year-old from Ireland. "It is very different from home."
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