The Shahab-3 missile, that brings Israel within range of the Islamic republic, and Iran's nuclear potential "is a threat not only to Israel but to the whole region and also to Europe," foreign ministry spokesman David Saranga told AFP.
Pictures on Iranian television showed Khamenei flanked by officers and other clerics, at least 1,000 troops in ceremonial dress, and three of the Shahab-3 rockets on what appeared to be mobile launchers.
The medium-range ballistic missile has a range of 1,300 kilometresmiles) and can reportedly carry a warhead of between 700 and 1,000 kilograms (2,222 pounds).
Since Saddam Hussein's regime fell in neighbouring Iraq on April 9, Iran -- which in 2002 US President George W. Bush described as forming part of an "axis of evil" together with Iraq and North Korea -- has become the Jewish state's enemy number one.
Israel broke diplomatic relations with Iran in 1979 after the fall of the Shah and the creation of the Islamic republic, which it accuses of supporting anti-Israeli terrorism.
In January 2002, the Israeli navy intercepted a ship carrying 50 tonnes of arms, allegedly sent by Iran to Palestinian militant organisations.
Tehran, which denies Israel's right to exist, is accused of financing the Lebanon-based Shiite militia Hezbollah, as well as several radical Palestinian groups, such as Hamas and Islamic Jihad.