World Youth Day opened on Tuesday night with a Mass held in several languages in Madrid's Plaza de Cibeles.
The youths were welcomed to Spain by the Archbishop of Madrid, Antonio Maria Rouco Varela, who told them they were part of the generation of Pope Benedict XVI.
"It's not the same as the generation of John Paul II," he said.
"Your place in life has its own characteristics. Your problems and circumstances have changed."
He went on to urge the young Catholics to respond once again to the call of Jesus.
"Don't be afraid of being a saint," he said.
"Let Christ live in your heart. Respond to Him with a 'yes' that's full of excitement and generosity of life."
President of the Pontifical Council for the Laity, Cardinal Stanislaw Rylko, reminded youths of the difference that faith makes to a life.
"Faith is a decisive factor in each person's life," he said. "Everything changes according to whether God exists or not."
He went on to speak of the powerful message that their attendance at World Youth Day was sending to a secularised Europe.
"You have come to say aloud to the whole world, and in particular to Europe which is showing signs of being very lost, your unwavering 'yes'. Yes, faith is possible," he said.
Nearly 4,000 pilgrims from the UK are taking part in World Youth Day, which runs until August 21.
Tom Rees, a pilgrim from Clifton, said he was really looking forward to taking part in the event.
"World Youth Day is a beacon for the Church's care and devotion to the welfare and spiritual wellbeing of is young adults, with the perfect blend of celebration and reflection, its unquestionable that this event revitalises faith in our young people," he said.
"What greater way to celebrate this than with thousands of young people all from different cultures, backgrounds and experiences."
Pope Benedict is due to arrive in Madrid tomorrow and will take part in a vigil with the youths on Saturday.
Alice O'Neill, also from the Clifton Diocese, saw the Pope when he visited London last year and said she could not wait to see him again in Madrid.
"World Youth Day is an amazing opportunity to come together to celebrate the message of good news that is our faith," she said.
"The biggest youth event in the world, it shines as an example of the joy of Christ's message, and the dedication of the young people of the Church.
"I'm really looking forward to sharing in the excitement of the two million pilgrims who will gather to say Mass with [the Pope] - it'll truly be the highlight of the whole experience for me."
The UK pilgrims are being accompanied by the head of the Roman Catholic Church in England and Wales, Archbishop Vincent Nichols.
He said: "I pray that the Holy Spirit will help us in Madrid to rediscover our faith if it is lost, strengthen it if it has become weak, and help us to savour it as fellowship with the Father and with his Son, Jesus Christ."