Clutching photographs of the late Serbian leader and shouting "Slobo! Slobo!", they rallied around Milosevic's flag-draped coffin, mounted on an outdoor stage.
The authorities had refused to approve an official ceremony, but Saturday's farewell - organised by Milosevic's Socialist Party - had many of the trappings of a state funeral, from the venue to the speeches made by top party members.
Also present was former US Attorney General and long-time supporter, Ramsey Clark.
Speaking on stage, Clark said: "History will prove that Slobodan Milosevic was right."
After the ceremony, Milosevic's body was taken to his hometown, Pozarevac, to be buried in the garden of the family estate.
Up to 15-thousand supporters lined the main street into the town, cheering as the hearse passed by and throwing red roses, the symbol of Milosevic's Party.
Among the supporters in Pozarevac were several indicted war crimes suspects on temporarily leave from the UN tribunal in The Hague.
Milosevic was buried beneath a linden tree where he is said to have first kissed his wife, Mirjana Markovic.
No immediate members of his family attended, but in a letter read out at graveside, Markovic, who lives in self-imposed exile in Moscow, said: "You have come back to our home to rest in the place you loved the most."
Thousands gathered outside the estate, many carrying posters with Milosevic's picture.
The foreign minister of Serbia-Montenegro has condemned the Belgrade rally as a "funeral of the people."
Vuk Draskovic, a long-time opponent of Milosevic, said it was "a celebration of the murderer and his crime."
"All of Belgrade's squares would not be big enough for all the victims of Milosevic and his regime," said Draskovic, who survived two murder attempts during Milosevic's rule.