What software can I use to mirror my MIDI keyboard controller on-screen?
Based on this thread which talks about looking for "a piano keyboard app that would display the keys and also animate (push down) on the keys I play with my MIDI keyboard.", it seems like an app called MidiKeys would do it. 

The page in that link says "There is also an option to select a MIDI source and see incoming notes played on the keyboard.", and that sounds like what you're describing.

It also says "requires 10.5 to run", which probably means 10.5 or above, but it's possible that it means its only guaranteed to work on 10.5.