BBC News
The rally was called by presidential challenger, Mir Hossein Mousavi.
Iran's most influential body has said it is investigating 646 complaints from the three defeated candidates.
They say there was widespread fraud in the 12 June poll which re-elected President Mahmoud Ahmadinejad with almost two-thirds of the vote.
The Guardian Council has invited the three challengers to talks on Saturday.
'Tinder-box'
Mr Mousavi had called supporters to take to the streets wearing black in memory of those shot by members of the pro-government Basij volunteer militia on Monday.
The protesters heeded the call, waving black banners and holding aloft placards asking, ''Why did you kill our brothers?'' Some banners carried pictures of the dead.
The opposition leader attended the rally, wearing a black shirt and suit. He addressed the crowds through a loudspeaker, with loud chants of support breaking the general silence.
Press TV, the English-language version of Iranian state television, reported that the address was brief and that Mr Mousavi called for calm and restraint.
The BBC's Marcus George in Tehran says there was little sign of pro-government militia squads but supporters of Mr Mousavi have been telling each other to stick closely together for better protection.
Reporter Marie Colvin of the UK's Sunday Times newspaper told the BBC from Tehran that both sides seemed to be trying to avoid major clashes but the situation was "a tinder-box, very edgy, so it's very hard to predict".
She said a Wall Street Journal colleague had been "interviewing a young man on the street the other night, and one of the militiamen came up and put a bullet through his neck and killed him".
The day of mourning was also observed outside Tehran.
One protester, Ali, took part in a silent sit-in at a shrine in Shiraz, south-western Iran, to remember those killed.
He told the BBC: "There are about two or three thousand people here, all sitting in silence in the big courtyard inside the shrine. Police won't do anything because we are in a holy site."
Heavy restrictions have been placed on the BBC and other foreign news organisations.
Reporters are not allowed to cover unauthorised gatherings or move around freely in Tehran – but there are no controls over what they can write or say.
Counter-protest
The protests came as the powerful Guardian Council said it had invited Mr Mousavi and fellow defeated candidates Mehdi Karroubi and Mohsen Rezai to a meeting on Saturday to discuss their election complaints. It is not known if the three candidates have accepted the invitation.
Guardian Council spokesman Abbasali Khadkhodai said a "careful examination" of the 646 complaints from the three candidates had begun.
The council earlier this week said it would carry out a partial recount, but had ruled out a re-run of the poll demanded by Mr Mousavi.
On Friday, Iranians will be listening closely to the address of Supreme Leader Ayatollah Ali Khamenei, who is due to deliver the sermon at Friday prayers.
In other events on Thursday:
• A counter-rally was held outside the prosecutor's office in Tehran in which hard-line students protested against the role of former President Akbar Hashemi Rafsanjani and his family. The Fars news agency said his daughter, Faezeh, who addressed an opposition rally on Tuesday, and her brother Mehdi had been barred from leaving Iran over their alleged role in the unrest.
• Ebrahim Yazdi, a foreign minister after the 1979 revolution and now leader of the Freedom Movement of Iran, was arrested while undergoing tests at a hospital in Tehran, a spokesman for his organisation said.
• The Assembly of Experts – Iran's top clerical body responsible for appointing the supreme leader – welcomed the election turnout but made no mention of the result. It is headed by Mr Rafsanjani.
• Iranian Nobel Peace Prize winner Shirin Ebadi called for the election result to be annulled, Reuters news agency reported.
