The opposition have been protesting since the May 5 general election, saying despite it getting 51 per cent of votes the coalition of Barisan Nasional, led by Prime Minister Najib Razak, formed the government which was unfair.
"We have won the elections," opposition Alliance leader Anwar Ibrahim told the massive crowd gathered at Padang Merbuk in downtown Kuala Lumpur.
"We will fight in and out of Parliament to ensure that the people get justice," he said.
The rallyists vowed to camp out there "until the EC resigns".
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At least 16 tents have been set up on the grounds.
Opposition party DAP adviser Lim Kit Siang said the rally was proof that the country's EC had lost the faith of the people.
With the resignation of the EC, the country could have democracy and meaningful elections, he said.
The Opposition would continue its struggle until there was a new "clean and democratic" EC, Siang said.
Despite the Opposition getting 51 per cent of votes, the ruling coalition of Barisan Nasional was still able to form the government, which was unfair, opposition Islamic party PAS deputy president Mohamad Sabu told the crowd.
Meanwhile, PAS vice-president Husam Musa was arrested on the way to the rally charged with sedition.
Organisers placed the crowd at over 100,000.
The ruling coalition has rejected the allegations of cheating.
The coalition won 133 of 222 parliamentary seats in the election with just under 48 per cent of the popular vote. The opposition alliance won 89 seats.