The crowd at the multi-faith event, called "A Prayer For America", waved flags, cheered and cried as they heard prayers and inspirational songs.
"Our skyline will rise again," New York Mayor Rudolph Giuliani told the crowd, which included families of workers and rescuers killed when hijacked planes destroyed the World Trade Center.
The official number of those missing, presumed dead, in the rubble of the twin towers has risen to 6,453.
Actor James Earl Jones addressed the crowd, saying: "Today we offer a prayer for America.
"Twelve days ago New York City suffered the most devastating attack of terrorism in human history.
"In response our nation is united as never before. We are united not only in our grief but in our resolve to build a better world."
Talk show host Oprah Winfrey, who is led the ceremony, said: "We each come here as one but we stand here as thousands.
"Our lives have been shaken but we Americans refuse to be shattered.
"Hope lives, prayer lives, love lives."
Darkest day, finest hour
Mayor Rudolph Giuliani described the events of 11 September as "our darkest day".
But he added: "It is up to us to make it our finest hour."
He praised the actions of New York emergency workers, to rapturous applause from the crowd.
At the stadium, countless friends and relatives of those missing held photographs of their loved ones.
Among the mourners was Judith Cruz, a friend of Isaiah Rivera, a CBS News technician who was on the 110th floor of the World Trade Center.
She said: "The reason we're here today is that we just want to be with everyone in the family and share with them, you know, the pain."
Change of venue
Originally planned for Central Park, the venue was changed amid concerns police would not have been able to cope with the numbers of people who would want to attend.
Mr Giuliani said a mass memorial service would be planned for a later date, when police were less overstretched.
Bagpipers from the New York Police Department's Emerald Society band opened the ceremony.
Opera superstar Placido Domingo later sang "Ave Maria. "
When Hollywood diva Bette Midler performed her inspirational anthem, "Wind Beneath My Wings" and the line "Did you ever know that you're my hero?" many in the crowd began sobbing.
The prayer service was led by Cardinal Edward Egan, the Archbishop of New York, and religious leaders from many faiths, including Muslim, Jewish, Hindu and Sikh offered prayers.
People rose to their feet when Imam Izak-El Pasha pleaded for tolerance.
"We Muslims, Americans, stand today with a heavy weight on our shoulders that those who would dare do such dastardly acts claim our faith," he said.
"They are no believers in God at all."
The memorial service was broadcast live to minor league baseball parks in Coney Island, Staten Island and Newark in New Jersey.
A ban on flights within three miles of major sporting events was extended by the Federal Aviation Authority, to cover the event.