More than a dozen lawmakers, including democratic legislators Claudio Mo and Ray Chan, chanted "Protect press freedom" and held up placards before being escorted out of the chamber by security.
Mo, who has campaigned for a democratic Hong Kong, said the walkout aimed to protest Lam and city authorities' failure to explain their decision to reject a veteran British journalist's visa, according to Hong Kong Free Press.
Read more: 'The Communist Party keeps their people well-fed, but in a cage'
'Politically motivated'Last week, Hong Kong rejected a visa renewal application for Victor Mallet, the Asia editor for the London-based Financial Times newspaper.
Earlier this year, Chinese authorities criticized the veteran journalist for hosting a speech by independence activist Andy Chan at the Foreign Correspondents' Club (FCC) in Hong Kong. However, it is unclear whether the event was a reason for the rejection.
The UK and US criticized the decision to deny Mallet's visa renewal application, with British Foreign Minister Jeremy Hunt saying it was "politically motivated."
'Fearlessly take actions'During Lam's speech, she made clear that all efforts to separate Hong Kong from Beijing would be quashed.
"Hong Kong will not tolerate any acts that advocate Hong Kong's independence and threaten the country's sovereignty, security and development interests," said Lam.
"We will fearlessly take actions against such acts according to the law in order to safeguard the interests of the country and Hong Kong."
Read more: China tightens grip on Hong Kong's pro-democracy movement
Waning democracyFollowing British rule, Hong Kong was turned over to Beijing under a "one country, two systems" arrangement settled in 1997.
The agreement allowed Hong Kong to retain substantial autonomy, with the promise of eventual universal suffrage.
However, despite a budding pro-democracy movement birthed out of protests in 2014, Hong Kong has instead seen a growing crackdown on activists and the press.
Read more: Hong Kong's 20 years under Chinese rule – A failed project?
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ls/kms (Reuters, dpa)