The 56-year-old walked on stage with Prime Minister Julia Gillard to a huge roar from the crowd, which welcomed the star in scenes reminiscent of tours by the Beatles and Abba in the 1960s and 1970s and Princess Diana in the 1980s.
"I've never seen a welcome like this in my life. In. My. Life," Winfrey told the thousands.
"I don't know what it is with you guys, I was saying this to the prime minister, I don't know what it is, do y'all go to like friendly school? Everybody is so darn friendly."
In a short speech to fans, some of whom had reportedly slept overnight in the square for a chance to see the American superstar, Winfrey said she was loving her first trip to Australia.
She described the country as "breathtaking", saying she had flown over the Great Barrier Reef, visited Uluru (Ayers Rock) in the country's desert heartland and had seen koalas mating.
"So I know, that is the definition of 'g'day mate'," she said.
In her only public appearance, Winfrey said she had decided to bring her show Down Under in its final season because of the support of Australian fans over the years.
"I love the fact that y'all have supported me and supported this show," she told the more than 8,000 screaming, applauding and banner-waving fans.
"When we looked around the world, our greatest fanbase was right here in Australia. So I said, let's go to the people who support you."
"Thank you Melbourne," she yelled.
Winfrey kicked off her "Ultimate Australian Adventure" on the Great Barrier Reef Wednesday, flying into idyllic Hamilton Island on her private jet for a close encounter with koalas and a stroll on the pristine white sands.
She then travelled to the country's red desert heartland where she met with Aboriginal Australians. She explored the red monolith Uluru, a site sacred for thousands of years to the country's indigenous.
Uluru was not originally on Winfrey's agenda but she said singer Paul Simon contacted her when he heard she was going to Australia and urged her to spend some time at the deeply spiritual and culturally significant Outback spot.
"I have to say, your country is simply breathtaking" she told those gathered in Melbourne.
Speaking in the folksy home-spun style for which she is best known to her television fans, Winfrey said that whether she was in Chicago or Melbourne people were ultimately the same.
"We are all in the deepest part of ourselves more alike than we are different," she said to screams of approval. "You have all proven that to me beyond a shadow of a doubt."
"I will be back."
Winfrey, who has brought 300 people from the United States as audience members for her only shows outside America, said she was grateful for the hospitality she had received.
"I'm grateful to you for your big open heart," she said.
"Can't wait to see how you love, how you love and how you par-tay," she hollered, before hugging Gillard.
The talkshow star's movements are tightly guarded, but a climb of Sydney's Harbour Bridge and visit to Bondi Beach are believed to be on the agenda when she returns to the harbour city at the weekend.
The iconic Sydney Opera House will become the "Oprah House" on December 14, when two episodes of the hit talk-show are to be filmed in its forecourt before 12,000 Australians who were selected by ballot.
Ranked the world's most powerful celebrity by Forbes magazine, local media have dubbed Oprah's visit the "biggest show in town", with security rivalling that normally offered to heads of state.
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