The haul included a Glock semi-automatic pistol along with five magazines, three of which were loaded, and a total of 105 bullets, the South China Morning Post reported citing the force as saying at a televised press conference.
It is the first time a gun has been seized during the six months of protests.
Detectives suggested that the weapons, which were found during raids at 11 locations, were intended for use during the march.
Police said the discovery of the 9mm pistol was evidence that people should stay alert during the march and rally, which is organised by the Civil Human Rights Front.
Also seized were knives, sabres, batons, pepper spray and firecrackers, officers said.
Meanwhile, the arrested persons comprised eight men and three women, aged between 20 and 63.
According to the police, they were part of a group wanted in connection with the throwing of petrol bombs at Mong Kok Police Station on October 20.
Huge crowds are expected to gather on Sunday afternoon in Victoria Park for the rally and march to Central organised by the Front, the city's biggest pro-democracy group, the South China Morning Post reported.
Monday marks six months since the first massive protests were held against the now-withdrawn extradition bill.
The movement has since morphed into a wider anti-government campaign, fuelled by alleged police brutality, and the campaign for more democracy.