Prime Minister Lars Lokke Rasmussen left flowers outside the cultural centre and the synagogue targeted on February 14, 2015 by Omar El-Hussein, a 22-year-old Dane of Palestinian origin.
"The Danes have shown that we insist on living our peaceful life," Rasmussen told journalists.
"And that is perhaps the most important message we can send here today -- that we will never give in, we will never give up.
"We're in a situation where there is still a serious terror threat against Denmark -- that is unchanged. But it is also a situation where we have acted... We have equipped our intelligence service, we have equipped our police."
Danish filmmaker Finn Norgaard, 55, was killed and three policemen were wounded. After managing to escape, the assailant shot a 37-year-old Jewish security guard, Dan Uzan, in front of a synagogue, also wounding two police officers.
El-Hussein, seemingly inspired by the attacks on French satirical weekly Charlie Hebdo, was killed a few hours later in a shootout with police in Copenhagen's immigrant-heavy Norrebro district.
"What we want in the association is to ensure that something as insane as what took Finn away from us does not happen again," its founder Jesper Lynghus told AFP.
After nightfall, the two victims will be commemorated with a chain of 1,800 candles lit on a 3.6 kilometre (2.2 mile) route between the two locations attacke, with a heavy police presence expected.
Police turned out in force as cartoonist Vilks returned to Copenhagen on Saturday for another event on freedom of expression -- held inside parliament for security reasons.
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