Here are some great images from the 1934 Macy's Christmas Parade that I've gleaned from various sources over the years. Note that many of the volunteers holding onto the tethered lines of the inflatable Mickey Mouse balloon are dressed in Mickey and Minnie Mouse costumes. I absolutely love the image of the Big Bad Wolf.
Here's the New York Times article with parade coverage, which was published on Friday, November 30, 1934:
Here is some related British newsreel footage. The first clip shows the finishing touches being put on the Mickey Mouse balloon. The second clip shows a minute or so of the actual parade.
Finally, click here to read about a couple of now rare Disney-related premiums the Macy's Santa Claus gave away to visiting children in 1934 and 1935.