The ceremony was attended by the kidnapped soldiers' families, Chief Rabbi Yona Metzger, Western Wall Rabbi Shmuel Rabinovich, Finance Minister Abraham Hirchson and other public figures.
Ehud Goldwasser's father, Shlomo, spoke on behalf of the captives' families.
"For five months now Udi and Eldad have been held captive by Hizbullah, while Gilad has been held captive by Hamas for more than six months. I do not recall that they were visited by any official body, or the Red Cross.
"They were not captured in any provocation or following an offense, but were kidnapped from inside the State of Israel in an act of terror. No information has been received so far regarding Udi and Eldad. Regarding Gilad, only vague information has been received," he said.
'Exert all efforts to release our sons'
"The kidnapped soldiers' families," Goldwasser added, "call on the Israeli government and on any element which can help, to exert all efforts in order to bring about the release of our sons.
"Today is the third day of Hanukkah. We, from the Western Wall, and other all across the universe, hope that a small light of hope will also be lit in captivity."
Rabbi Metzger composed a special prayer for the wellbeing of the kidnapped soldiers and read it during the candle lighting.
Finance Minister Hirchson added that the right to light Hanukkah candles in the Western Wall "was not something that the people of Israel could always have done. We are overjoyed that we have won the right to stand in the City of David, which is the capital of Israel and the very center of the Jewish people wherever they are, and hope that, God willing, Israel will remain the capital of the Jewish people for eternity."
To light a candle in honor of the kidnapped soldiers, click here.