Speaking through an interpreter, Than Shwe told the crowd: "I am happy to be here and I look forward to touring the Buddhist shrines."
Heavy monsoon rains forced the general to travel by car rather than helicopter to the temple-studded city, delaying his arrival by five hours.
The general arrived in Colombo on Thursday with his wife, daughters and grandchildren on a religious pilgrimage to Sri Lanka.
The tropical island nation and Myanmar both practise Buddhism and have had cultural and religious ties since the 11th century.
Anuradhapura is a former Sinhalese royal capital and the site of the temple of the holy Bo tree, which was grown from a sapling from under which the Buddha found enlightenment more than 2,500 years ago.
The junta leader, believed to be in his 70s, suffered from a stomach bug on Thursday but appeared to have recovered by Friday when he toured the pilgrim town of Kandy.
He was due to receive blessings from Buddhist monks at a temple outside the capital Colombo on Sunday before departing, the foreign ministry said.
The junta leader stressed the "history of close Buddhist ties" between his country and Sri Lanka during a meeting with Foreign Minister Rohitha Bogollagama at the start of his visit on Thursday.
His trip has outraged Myanmar monks living in Sri Lanka, who warned Colombo that its increasingly close relations with Myanmar's military regime would further stoke international concern over the island's human rights record.
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