Mr Capriles criticised President Hugo Chavez for what he called a long list of unfulfilled promises.
He demanded justice for three opposition activists killed during a rally in Barinas state on Saturday.
President Chavez has promised to deepen socialism in Venezuela if he wins another six-year term.
He told his own supporters it was impossible to lose.
Mr Capriles said the rally was the biggest Caracas had ever seen.
“Bolivar Avenue is too small for us,” he said, referring to one of the main city streets.
He also paid tribute to the three men who had died.
“Yesterday, sadly, violence took three lives, something that should never have happened,” Mr Capriles said, in his last major rally in the capital before the election.
An initial statement by the First Justice Party on Saturday night reported two deaths.