The group is pushing for what they call common-sense laws on the topic, but it comes as the U.S. Senate failed to even put up a vote on an assault weapons ban measure earlier this week.
Both Biden and Bloomberg have been outspoken in their efforts to push for tighter restrictions on guns, with Biden in charge of the nation's efforts to curb violent incidents like the one at Sandy Hook Elementary.
Bloomberg has been on the forefront of the issue for years, even using his own personal wealth to challenge the NRA's influence in Washington, D.C.
The Senate dropped the assault weapons ban from its gun control package because of a lack of support.
Biden said the president's gun proposals don't infringe "one iota" on Second Amendment rights.
Mayor Bloomberg emphasized proposals for expanding background checks of gun buyers.
Bloomberg and Boston's Thomas Menino head a coalition called Mayors Against Illegal Guns.
Some Connecticut police officials also weighed in on the Senate's inaction.
"As I reflect today about that day, as much as I try to forget about it, I just can't," Newtown Police Chief Michael Kehoe said. "And I know that will give me the energy to move forward and hopefully make change in our society that we need.
Meanwhile, singer Tony Bennett and the Reverend Al Sharpton are planning to hold a gun control rally in uptown Manhattan Thursday.