All major roads in downtown area here were sealed off by police as rallyists walked peacefully to a nearby stadium.
Opposition leader Anwar Ibrahim told his supporters to help him defeat the ruling Barisan National coalition led by Prime Minister Najib Razak.
"We ask for a chance so that the people's voice will become the sacred voice in ruling this country," he told the gathering.
The three-party opposition alliance demanded poll reforms and, free and fair elections, which have to be called by June this year.
A 10-point demand was also read out by opposition leader Saifuddin Nasution which included 20 per cent oil royalties for petroleum producing states, strengthening the national language as well as the mother tongues and release of all political detainees.
Malaysia's dominant population the Malays speak Bahasa Maleyu, which is the national language. However, the other ethnic races like Chinese and Indians, who are mostly Tamils, were finding it hard to keep their mother tongues alive.
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Ethnic Indians form eight per cent of Malaysia's population of 27 million people, with majority of them from Tamil Nadu.
Police said around 45,000, people attended the opposition rally while organisers put the numbers at 80,000.
Protest rallies cannot be held on the streets in Malaysia and a prior permission has to be obtained from the authorities before a mass gathering is organised.
The ethnic Malay-dominated coalition, which has ruled the country since independence from Britain in 1957, lost more than a third of its seats in Parliament to the opposition in 2008.
The 2008 general elections saw Samy Vellu, the chief of Malaysia's largest ethnic Indian political party Malaysian Indian Congress, lose his parliamentary seat, which he had held for several terms.
Meanwhile, Deputy Prime Minister Muhyiddin Yassin said the ruling coalition had done well.
"We have a good government and a good economy, so why do we need a change?" state-owned news agency Bernama quoted Yassin as saying.