The rally started in the early afternoon, and there were about 100 people, some with banners reading "Free Julian Assange".
"We live maybe in the craziest city, and it is definitely the craziest country in a crazy world," Waters told the rally participants.
Waters has attended protests supporting freeing Assange in the past. Some US politicians have also criticized Waters for accusing President Joe Biden of fueling the conflict in Ukraine.
Assange was apprehended in London in April 2019 on a US arrest warrant, facing extradition and a sentence of up to 175 years in a maximum security prison if convicted.
The 51-year-old Australian, wanted by the US government on charges of disclosing classified information and violating the Espionage Act, took refuge at the Ecuadorian Embassy from June 2012 until his arrest in April 2019, after which hearings began to extradite him to the United States.
Assange reportedly applied to the European Court of Human Rights (ECHR) to challenge his extradition to the US from the United Kingdom, where he is held at a maximum security prison.