Chris Pratt, Bradley Cooper, Zoe Saldana and Vin Diesel signed an open letter in support of Gunn.
The stars said they were shocked by his removal 10 days ago.
The Walt Disney Co fired him from the third movie in the series after tweets from 2008-11 resurfaced in which he joked about rape and paedophilia.
The cast said on Monday it had waited to issue a statement in order to "think, pray, listen and discuss".
They said they wished to express "our love, support and gratitude for James".
