Mbhazima Shilowa, the former premier of Gauteng province, was named as joint deputy along with Linda Odendaal.
Cope, which is mainly made up of ANC members loyal to Thabo Mbeki, the former South African president, has attracted scores of ANC supporters.
It could emerge as a significant challenger in the 2009 elections.
"The ANC more than anybody else should know that there is no possibility of us going back, we are now looking forward to the elections," Lekota said earlier.
"Even if some of us do decide to rejoin the ANC, that will not mean an end of the party ... it will always be there."
Lekota resigned his post as defence minister after the ANC, led by Jacob Zuma, ousted Mbeki as state president in September. The current president of the country is Kgalema Motlanthe.
Lekota is also called "Terror", a nickname he did not get in politics, but in sports because of his style of soccer playing when he was young.
Zuma's camp had accused Mbeki of trying to use a corruption case to ruin his rival's political career.
Zuma's triumph over Mbeki in the bitter leadership contest one year ago led to the purging of Mbeki supporters from party positions, stretching from parliament to local districts.
Although Cope would be hard pressed to defeat the ANC, which has won about two-thirds of the vote in previous elections, it could gain enough black votes to deny the ANC an absolute majority in parliament.
Al Jazeera's Bernard Smith, reporting from Bloemfontein, said: "The unusual thing for this political party is that it is a grassroots movement but did not start with a policy and manifesto.
"Cope's priority is to create a manifesto and to tell the people gathered here today what their policies are. Cope cannot rely on getting votes from people just because they don't like the ANC. They need to have something to stand for."
The new party seeks to capitalise on anxiety among middle class voters and business over the influence of trade unions and left-wing elements in the ANC, which traditionally portrays itself as representative of all South Africans.
Allister Sparks, a political analyst who views the formation of Cope as healthy for South Africa, said: "This is a grassroots revolt against the ANC. We've had 10 and a half months of ruthless drilling at the [ANC] branch levels."
The ANC has dismissed Cope's leaders as sore losers and politically irrelevant, while warning its members not to be seduced by the new party with some suggesting instituting loyalty oaths in response to the new rival.
The ANC is planning a parallel rally, also in Bloemfontein on Tuesday, which will be addressed by Zuma.
Bloemfontein, situated in the heartland of the country, holds a certain historical significance as the ANC's birthplace in 1912.
Cope said it chose that city as a reminder of principles that the ANC has abandoned.
"The ANC has veered off the principles and values that laid the foundation of the party ... We want to revive those ideals and lead our people to a better future," said Charlotte Lobe, the party's interim general secretary.
The new party's name has been the subject of a fierce court battle with the ANC, which accuses the defectors of laying claim to an historic meeting in the 1950s.