Rally spokesman Ross Smith, who said the movement was called Jesus for New Zealand, said he wanted the prayer to be kept as it was.
"We are not here to protest. But we are here to proclaim. And we are going to proclaim the name of Jesus Christ, loud and clear," he told the crowd.
"After seeking advice from the church, who said 'no problem', the name of Jesus Christ was removed [from the parliamentary prayer]. That's not this church. That's not my church.
"We are here to see the name of Jesus exalted, not excluded."
Afterwards, Smith said if their wishes were not followed, the rally was still worth it.
"If it doesn't happen, it's not wasted. This has brought so many different people together, so many denominations."
Ngaro, a Christian, said he supported the rally and the people's right to express their view.
He wanted the prayer to keep the reference to Jesus Christ.
"What's a prayer? Who do we pray to? Otherwise it's a few words that gets muttered as an utterance. The name of Jesus has a strong religious and cultural significance to many people."
He said other Speakers had consulted about possible changes before making them, unlike Mallard, who had changed the prayer and then consulted MPs.
Prime Minister Jacinda Ardern said the rally had a strong voice.
"I certainly saw the strength of feeling and I could hear it as well up in my office. I'm hoping now the Speaker has got it to a place where people will be a little happier."
Mallard said most MPs preferred a secular approach, though there was a group of MPs who wanted the keep the old wording.
"Where I've landed currently is a second choice for a lot of people, but what I regard as a compromise.
"The majority of New Zealanders are not Christians, and there are big groups of people who feel excluded, who believe in a God, but feel excluded by a prayer limited to Christians."
He said he would put "Jesus Christ" back into the prayer if there was strong support for it, and doing so would not offend another group of New Zealanders.
Changing the prayer has been debated before, most recently in 2014, when then-Speaker David Carter proposed wording that kept a reference to the Queen, but dropped "Almighty God", "true religion" and "Jesus Christ".
He eventually declined to change it after National and NZ First MPs objected. The Greens supported change, and Labour did not have a collective view.
In 2007, 63 per cent of MPs voted to keep the prayer unchanged.
The prayer that opened the House for more than 50 years has been:
"Almighty God, humbly acknowledging our need for Thy guidance in all things, and laying aside all private and personal interests, we beseech Thee to grant that we may conduct the affairs of this House and of our country to the glory of Thy holy name, the maintenance of true religion and justice, the honour of the Queen, and the public welfare, peace, and tranquillity of New Zealand, through Jesus Christ our Lord. Amen."
The current prayer is:
"Almighty God, we give thanks for the blessings which have been bestowed on us. Laying aside all personal interests, we acknowledge the Queen and pray for guidance in our deliberations, that we may conduct the affairs of this House with wisdom justice, mercy, and humility for the welfare and peace of New Zealand. Amen."
