Rabin was gunned down on Nov. 4, 1995 by a Jewish extremist who opposed his policy of trading land with the Palestinians for peace.
Rabin's government negotiated the first interim peace accord with the Palestinians in 1993. He won a Nobel Peace Prize for his efforts.
Saturday night's rally at the square that bears Rabin's name has become an annual pilgrimage for many Israelis to pay tribute to the slain leader. Participants held candles and waved Israeli flags. Others carried aloft banners calling for protecting democracy.
Israel officially marks the anniversary Sunday, according to the Hebrew calendar.