Milinkevich urged the crowd to maintain the momentum achieved during an unprecedented week of protest that followed Lukashenka's reelection last month.
Earlier, Milinkevich was summoned by prosecutors and warned he could face prison in case of unrest during the rally.
"I was warned that if I violate the law, I may receive not only administrative punishment but also criminal one," he said.
Authorities also warned demonstrators to stay away from the central Minsk square which was the site of last month's protests.
Reports from Minsk say busloads of police and several detention vehicles drove into streets near the square hours before the rally was due to start.
RFE/RL Belarus, Ukraine, And Moldova Report
SUBSCRIBE For weekly news and analysis on Belarus, Ukraine, and Moldova by e-mail, subscribe to "RFE/RL Belarus, Ukraine, And Moldova Report."