"I was walking the walk when others weren't even talking the talk yet," Thompson said at an appearance with supporters in Georgia.
He said he voted in 1996 to outlaw sanctuary cities, where city employees are not required to report illegal immigrants to federal authorities.
"Along about that same time, Mayor Giuliani was supporting the concept of sanctuary cities," Thompson said. "Governor Romney certainly didn't say anything against sanctuary cities until recently."
Romney, who was campaigning in South Carolina, answered back, arguing that as Massachusetts governor he authorized state police to enforce federal immigration law and threatened to veto a measure allowing undocumented immigrant students to pay the same in-state tuition at state colleges as residents.
"I've been running for president a lot longer than he has," Romney said derisively of Thompson. "I've been talking about sanctuary cities and illegal immigration from the very beginning. I welcome Fred Thompson into the race, but he needs to get in a little longer and look at the records of those of us who have been talking about these issues for some time."
Thompson, who has spent little time on the campaign trail since a GOP debate in Michigan Oct. 9, is planned a four-day trip to Florida beginning Saturday.
In a telephone interview with The Associated Press on Thursday, he acknowledged he was caught off guard during his last visit to Florida when he responded to a question about oil drilling in the Everglades by saying, in part, "I'm not going to start out by taking this, that or the other off the table."
His answer prompted Florida Gov. Charlie Crist to later say, "I wasn't completely overjoyed" with what Thompson had to say about Florida issues.
Thompson said, "I didn't think there was a serious proposal out there with regard to the Everglades and I probably treated it as such, but it's certainly not something that I would be for."
In 2002, when Thompson was in the Senate, President Bush agreed to spend $120 million to buy oil and gas rights on 390,396 acres of federally protected land in the Everglades. The move prevented drilling on the land.
"It's a national treasure and it's not to be messed with and I can't imagine anybody doing so," Thompson said.
In Georgia, Thompson said that to know where he would be on bedrock conservative issues, people need only look at his record.
"I was a conservative then, I am a conservative today and I will be a conservative tomorrow," he said.
The Giuliani camp responded by saying Thompson had voted as a senator against a stricter employment verification system and a measure that would have blocked illegal immigrants from receiving certain benefits.
"Senator Thompson's missing a few pages from his screenplay," Giuliani spokesman Elliot Bundy said, a reference to Thompson's career as an actor as well as his years as a senator from Tennessee.
Giuliani is a former mayor of New York.
In his first visit to Georgia since announcing he was entering the presidential race, Thompson emphasized conservative stances on taxes, national security and welfare - and strong opposition to abortion.
Asked by a reporter about the lobbying work he did on behalf of National Family Planning and Reproductive Health Association, an abortion rights group, Thompson said Thursday he had no regrets.
"That was private life," Thompson said.
"Those people now are coming out of the woodwork now because I'm their worst nightmare," he said. "I proceeded to go to the United States Senate and vote against them consistently for eight years so now they're trying to defeat me."