While the visitors were still on their way, a rocket fired from northern Gaza landed in an open field north of town, causing no injuries or damage.
The convoy left from several rendezvous points in Tel Aviv, Jerusalem, Haifa and Raanana early Friday.
The visitors were briefed by the police and the Home Front Command on how they should act in the case of a rocket attack.
Mark Ephraim, 29, from Hadera, told Ynet, "We drove in a huge convoy to Sderot, and it was simply an uplifting site.
"We came here today hoping to cheer up the people who are suffering in Sderot. Our goal is to shop, and mainly extend our support to the people of Sderot and show them we haven't forgotten them."
Long lines at the local supermarket (Photo: Ze'ev Trachtman)
Sderot's residents were surprised by the number of visitors. The business owners were satisfied with the thousands of shoppers who arrived at the stores and purchased products.
Amos Kuri, who owns a bakery in the southern city, told Ynet, "If a group like this should arrive here once a month, it would be enough to arrange our entire month. It's very heartwarming. The truth is I was sure people would escape after the first Qassam fell, but they stayed here."
Sderot Mayor Eli Moyal said that the thousands of shoppers who arrived in the city had conveyed a message to the government.
"This is a development of what has been happening recently. The quiet protests, without antagonism and without incitement. It's simple to tell people this is our situation.
"I am certain and believe that the government can no longer take its time in the face of these sights, and this will slowly penetrate, because the people are saying, 'Enough, something has to be done with Sderot's residents.' Today we saw the best of the Israeli people. People with smiles, with so much love," Moyal added.
Sderot's streets finally crowded (Photo: Ze'ev Trachtman)
The chairman of Sderot's traders' council, Aharon Hugi, said that the initiative was amazing. "It's beautiful to see this today, after the town has been literally deserted the entire week and there has hardly been any traffic in shops.
"Suddenly, the shops are full. We were really concerned that the Color Red alert system might scare off some of the people, but those who have already arrived told us that even if rockets start landing, they will continue doing their shopping. People have no clue how much good this is doing to the town."
Danny Dahan, a supermarket owner, said that it would be hard for him to forget the sights he saw on Friday.
"This is Sderot, which I am definitely unfamiliar with and can't remember. The hustle and bustle in the streets, the playing children and of course the economic aid they gave us. This hug they embraced us with was worth everything. We met each one at the entrance to the city with a flower and some refreshments. What happened here today was beautiful."
Dahan added that the businesses in the city would be able to recover thanks to the many shoppers. "It gives us a lot of strength, although I personally was on the verge of exhaustion."
Another Sderot resident, Haim Kuznitz, told Ynet that the entire town center was filled with car traffic.
"It's simply astounding to see that's happening here… the feeling is that the government may not be with us, but the people certainly are. This initiative is really helping the local businesses, and seeing the many buses sent by other municipalities really warms the heart."
Among those who visited the city were public figures like author David Grossman, former Maccabi Tel Avvi basketball player Doron Jamchy and Raanana Mayor Nahum Hofree.
Michel Dor contributed to this report