The Labour leader described Mrs Cox as someone who “lived her life to make lives better for everyone else”.
As plaques were unveiled, he told a crowd of friends and relatives in Place Jo Cox: “She always gave this message that we have far more in common that unites us than can ever possibly divide us.”
The mother-of-two, who was killed by neo-Nazi terrorist Thomas Mair in 2016, frequented the Ancienne Belgique concert hall which backs onto the square when she worked in Belgium.
She lived in the country for six years before being elected to Parliament in 2015.
Mr Corbyn thanked the people of Brussels for the “truly wonderful gesture” to honour the 41-year-old who was “so cruelly killed, so young, in such a brutal way”.
He attended the ceremony with Tracey Brabin, the MP who has taken over Mrs Cox’s Batley and Spen constituency, and shadow Brexit secretary Sir Keir Starmer.
Mr Corbyn was later heading to meet Michel Barnier, the EU’s Brexit negotiator.
Shaking hands with Mrs Cox’s sister Kim Leadbeater and parents Gordon and Jean Leadbeater, he ended his speech by saying: “In her memory let’s build that better world. We can change the world, thank you.”
Ms Leadbeater remembered her sister’s “compassion” and “kindness” but voiced concerns that little political progress had been made since her death.
Speaking in the square alongside relatives who each held a single white rose, she said: “After Jo was killed it felt like there was a real hope that some things will change.
“Obviously for us everything changed forever.
“But beyond that I think a lot of people hoped that the violent assassination of a young mother of two small children on the streets where she grew up would have a profound and long-lasting effect on the political discourse in the UK and beyond.
“However, over two years after, and despite many people working extremely hard to show that Jo’s murder was not in vain, I’m sadly not at all sure that this was the case.
“As well as being a celebration of Jo’s life, I feel that today is also an opportune time to reflect on this.”
She said she hoped to bring Mrs Cox’s children to the square in “happier and more settled times”.
Mayor of Brussels Philippe Close described Mrs Cox as “always pursuing the emancipation of the most disadvantaged” and dying for her “ideas of peace, solidarity and tolerance”.
He said the city would continue to “prevent the poison of hatred to spread” and wished, whatever happened in the Brexit negotiations, that the UK “will always remain part of Europe”.
He added: “Brussels will continue to welcome UK citizens with a warm heart. And our friendship with the UK will remain as strong as it has ever been.”
The city decided to rename the square near the Grand Place after Mrs Cox in a bid to have more streets and public places remembering “illustrious women”.
After the speeches, a choir led by close friend Suzy Sumner performed music including an African liberation song in a nod to her work on that continent and a traditional Balkan folksong in memory of Mrs Cox’s love for the region.