Milinkevich told a crowd of some 1,500 supporters in Minsk that there was "no hope of normal civilized relations with Europe" while Alyaksandr Lukashenka is president.
He said Belarus needs to end its isolation from the West under Lukashenka and open up to Western investment.
Lukashenka is running for a third term in office. The United States has dubbed his regime Europe's "last dictatorship."
Milinkevich also said that, for Belarus, Russia is "a strategic partner, but Belarus's independence is an absolute."
Supporters at the rally chanted "Long Live Belarus" and "Freedom."
Police afterwards impounded a minibus with sound equipment and detained an opposition politician.
(AFP)