The protest aimed to show that Muslims "strongly condemn all types of extremism and reject all types of hatred and hatred of Jews", organizers wrote on Facebook.
"From our perspective, as Jews, it is very important that we feel that we are not alone," said Petra Kahn Nord, secretary-general of Sweden's Jewish Youth Association prior to making a speech.
Swedish Prime Minister Stefan Löfven told the protesters their country would "never let hate take charge of our lives", drawing cheers from the crowd.
A filmmaker and a Jewish man died in the Copenhagen shootings at a cultural centre and outside the city's main mosque on February 14-15th.
Gunman Omar El-Hussein was later shot dead by police.
Protesters at Friday's protest told AFP they were dismayed by what had happened.
"Outside the synagogue there are now police with machine guns. I'd never seen them carry machine guns in Stockholm before," Cecilia, a 48-year-old Jewish woman who works at an IT company, said.
"It's tragic to have to organise an event like this," she added.
The event was inspired by the "ring of peace" in Oslo last weekend and was organized by several groups, including the Young Muslims of Sweden and Young Roma.
Around 300 people, meanwhile, attended a peace vigil in Copenhagen organized by Danish Muslims.