Public anger over fuel prices has heightened in recent weeks after the government led by the National Front Coalition increased petrol by 41 per cent and diesel by 63 per cent last month.
Hatta Ramli, from the Islamic opposition party, PAS, told the crowd: "Today we gather to show our anger. We still have time because today we will gather until the fuel price is reduced."
Hatta demanded that Abdullah Ahmad Badawi, the Malaysian prime minister, step down if prices are not reduced.
There was no unrest and no visible presence of security forces in and around the stadium.
The rally was organised by an opposition alliance directed by Anwar Ibrahim, the Malaysian opposition leader and former deputy prime minister.
Anwar, who is officially an adviser to the opposition party Keadilan, is expected to use the rally to attempt to clear his name of recent sodomy allegations made by a former aide.
He says he will have enough defectors from the ruling coalition to topple the government by the end of the year.
The government said it had to cut petrol subsidies, which it says account for about one-third of the national budget.
But critics, backed by the opposition, argue that there was no need for such a drastic measure given the revenues Malaysia earns from its oil exports.
The opposition movement has said this is just the start of action against Badawi's rule, whose position has been weakened since record losses in March elections.
According to government statistics, five per cent of Malaysians live in poverty, but the figure is thought to be as high as 25 per cent.
Hatta said to the crowd: "Our aim is not to cause trouble, but to get the message to the government that fuel prices must come down and we will not stop our protests until this happens.
"The protests will only get worse until the government listens to the voice of the people to ease their burden and suffering."