The gold medallists showed off their medals and waved the Welsh flag before posing for photographs.
They were called up to the steps one at a time, each competitor receiving a big ovation from the fans.
Vale of Glamorgan cyclist Nicole Cooke was the last to be called up and received the greatest cheer.
When asked how it felt to be a gold medal winner she told the crowd: "It still feels just as good as it did the moment I crossed the finish line. It's one of the best emotions of my life. It is a dream come true for me."
Among the crowd were visitors from further afield.
Doug Jamieson, 59, and his wife Jen, 60, from Edinburgh were visiting their friend Ada Stein, 93, in Cardiff.
Team members were saluted by crowds when they arrived by open-top bus
Mr Jamieson said: "The Olympics is a marvellous achievement for the small countries of Scotland and Wales.
"They have all done so very well and it's not right to pick out one in particular. They have all tried their very best."
He said: "it is a breath of fresh air in a dreich (miserable) summer.
Ada said: "I remember the old docks very well, I never thought I'd live to see this though, it's amazing."
An overcast day turning to fine drizzle with a wind ensured that the "Well done Team GB" banners were fluttering.
The Cardiff-based Only Men Aloud choir entertained the crowd with the James Bond theme Goldfinger before a selection of songs ahead of next Saturday's final of the BBC's Last Choir Standing.
Meanwhile, Mr Morgan, who greeted the competitors at the Senedd, said the Cardiff Bay celebration was marking Welsh athletes' "huge contribution to Team GB's extraordinary success".
Geraint Thomas, Nicole Cooke and Tom James with their medals at Cardiff Bay
The first minister said they would also use the celebration as "missionary work" to emulate all the medal-winning athletes along with those who did not make it onto the platform.
"We have got to get healthier and fitter and I hope those gold and silver medals will help us to do that."
Other Welsh athletes at the parade were swimmers Thomas Haffield and Jemma Lowe, hockey player Sarah Thomas, runner Christian Malcolm and triathlete Helen Tucker.
Mr Morgan said the team has provided Wales with a "fantastic fortnight when we've had lousy weather but wonderful Olympics".
He singled out Cooke for praise, saying she had "kicked off the gold rush".
Then Mr Morgan joked about David Davies swimming off course when he won his silver medal in the swimming open water 10k.
He said: "We're going to have a whip-round in the assembly so he can buy a sat nav and win the gold in 2012!"
He added: "That race has given a whole new meaning to the phrase 'I'm pulling your leg'".
He said that Wales would now be looking forward to the Paralympics and the Commonwealth Games in Delhi in 2010 when he said we would really find out who is the fastest between Geraint Thomas and his team GB colleague Bradley Wiggins.
The ceremony included a talk by Lyn "the Leap" Davies who won the long jump in the 1964 Tokyo Olympics.
Mr Davies heaped praise on the athletes for their inspiration for young people and, in particular, for Cooke, saying her medal win was a "huge contribution to the team out there."
Geraint Thomas, back home in Cardiff after winning gold in the cycling men's team pursuit, said he was "still on cloud nine" and his achievement had not sunk in.
Triathlete Helen Tucker who finished out of the medals in Beijing said there was a "great atmosphere" in the GB camp, and Nicole Cooke's early gold in the women's road race had "really inspired" her.
The strong performance of Team GB in general in China has also inspired her to aim for London 2012, she added.
"I think from Beijing we can see that we can definitely put a good team together so hopefully we can bring back even more medals."
This page is best viewed in an up-to-date web browser with style sheets (CSS) enabled. While you will be able to view the content of this page in your current browser, you will not be able to get the full visual experience. Please consider upgrading your browser software or enabling style sheets (CSS) if you are able to do so.