Lumley, wearing a Gurkha Justice Campaign T-shirt, addressed a rally in Parliament Square.
Hundreds of Gurkhas assembled along with politicians from all the parties and campaign supporters.
The campaigners want the Government to give Gurkha soldiers who retired from service before 1997 the automatic right to settle in the UK.
Currently only Gurkhas who retired or were discharged from the army after 1 July, 1997 are eligible to settle here.
Lumley, whose father served with the Sixth Gurkha Rifles, said: "This is a hugely important day. This is the day when we can show the Government a small section of the feelings of this country.
"There is a feeling that such an injustice has been done by successive Governments to the fine soldiers that it has to end.
"This has spread a stain on our country that once the public got to know about it, they feel it to be intolerable."
The Absolutely Fabulous actress said today's rally would honour the 50,000 Gurkhas who had given their lives for this country in the past 200 years.
In September, the High Court ruled that the immigration policy used to exclude pre-1997 retired Gurkhas from the UK was unlawful.
Campaigners said today that the Government needed to implement a new policy bringing equality to all Gurkhas.
In the last six weeks almost 250,000 people have signed a petition backing the cause for veterans' rights to settle in this country.
The crowd heard speeches outside the Houses of Parliament as they walked to Downing Street to hand over the petition.
Gurkha Victoria Cross winners Tul Bahadur Pun and Lachiman Gurung led the procession via the Cenotaph.
The crowd grew to around 2,000 during the morning.
Wearing a black hat, skirt and jacket, Ms Lumley led the procession of soldiers and supporters along Whitehall with the two Victoria Cross heroes.
Pushed in their wheelchairs, the men sat in front of the Cenotaph before Mr Pun was helped to his feet by Ms Lumley and others.
A piper played as Mr Pun slowly walked to the memorial for the laying of a wreath in honour of the Gurkhas who died serving in the British Army.
After the short, moving ceremony, Ms Lumley entered 10 Downing Street to appeal to Prime Minister Gordon Brown.
Earlier Peter Carroll, who has helped lead and support the campaign since 2004, said: "The victory is not won until the Government comes in with a much fairer policy.
"If a Gurkha has served his time in the British Army, he has the right to live in the country he was prepared to die for."
Lumley later emerged from Downing Street before re-entering with the two Victoria Cross holders.
A group of Gurkhas carried bags containing the signatures into Downing Street.
Retired Gurkha Dan Gurung, who is a British citizen and a councillor in Folkestone, Kent, earlier led a two-minute silence in memory of two serving Gurkhas who died recently in Afghanistan.
Afterwards, he said: "This is the proof and truth our two heroes have clearly demonstrated.
"The Gurkhas always sacrifice their life in the past and in the present for this country."
Politicians from all three main parties also attended today's rally, along with Virginia McKenna, whose husband, Bill Travers, was a Major in the 9th Gurkhas.
After around an hour, the Gurkhas emerged from Downing Street, followed a short time later by Ms Lumley.
The actress said she did not speak to Mr Brown or any leading figures but took part in the formal handing over of the petition.
She said today's event was "fantastic" and she was moved by the level of support for the campaign.
Ms Lumley said she did not know when the Government would make a decision in the wake of the High Court ruling but called for equality to be introduced immediately.
"Do it now," she said. "Put this great wrong right. We have promised the Gurkhas that we will not rest until we see justice done."
Home Secretary Jacqui Smith said: "I have always been clear that where there is a compelling case, soldiers and their families should be considered for settlement.
"The judge agreed that our cut-off date of 1997 is fair. However, as I made clear after the court's ruling, we will revise and publish new guidance.
"We will honour our commitment to the Gurkhas by reviewing all cases by the end of the year."
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