"We say thank you to the junta for their intervention," Bazoum Mohammed, an opposition spokesman, told the rally.
"We are for the restoration of democracy and we are committed to joining the army in this mission."
Many of the demonstrators carried placards saying "Long live democracy" and "The CFDR supports the army".
The coup leaders, who are calling themselves the Supreme Council for the Restoration of Democracy (CSRD), took power on Thursday vowing to turn Niger into "an example of democracy and of good governance".
Harouna Djibrilla Adamou, one of the coup leaders, told the rally: "We thank you for your overwhelming support".
"What we did was in the best interest of Niger... we ask you to stay calm, we're here for you, we're listening and we assure you that we will never let you down," he said.
The CSRD said shortly after seizing power that it intends to turn Niger into "an example of democracy and of good governance".
Colonel Djibrilla Hamidou Hima, one of the coup leaders, pledged on Saturday to hold elections, but he did not specify a date.
"Our intention is to stabilise the political situation... We plan to organise elections but first we have to stabilise the situation," AFP quoted him as saying.
"[The election date] will be announced at the right moment... It has been hardly 48 hours.
"We want to rally the people and create conditions [for an election]."
The international community has called on Niger's military leaders to return the country to civilian rule as soon as possible.
Those calls come amid international criticism of the coup, although many analysts had predicted that Tandja's overthrow was inevitable.
The African Union (AU) has suspended the West African nation from its ranks and the United Nations has also condemned the coup.
The United States called for a "speedy return to democracy" and France, Niger's former colonial ruler, demanded fresh elections "in the coming months". The European Union has also condemned the coup.
Saturday's demonstration came hours after a delegation from the 15-nation Economic Community of West African States (Ecowas) led by Abdulsalami Abubakar, a former Nigerian leader, arrived to press for the peaceful restoration of civilian rule.
Ecowas suspended Niger from its ranks after Tandja held onto power past his December 22 mandate, prompting the US and Europe to cut off aid to the uranium-rich nation.
"In a sense this coup is really the simplest and easiest way to get back onto a democratic path for Niger," Na'eem Jeenah, the director of the Afro-Middle East Centre in Johannesburg, told Al Jazeera.
"Because the AU's response to Tandja's actions was to appoint a mediator and in terms of the proposals that the mediator himself had, Tandja would remain in power for a little while longer ... This is in a sense a dirty, but a quick way to return to democracy."
"All signs are that it is widely supported in Niger. The oppostion parties, the previous parliament that Tandja got rid off, the supreme court that he got rid off, they are all supporting the coup.
"But there is always the sub-text, they support the coup but they are hoping that it leads to democracy."
Soldiers initiated the coup on Thursday, raking the presidential palace with gunfire and seizing Tandja, who is reportedly being held in military barracks outside the capital.
They said the coup was being led by Salou Djibo, a little-known military commander.