The Saturday march in the Houthi-held capital, Sana'a, was in support of a new combined governing council the Houthis and Saleh announced late last month, AP reported.
The former government and the United Nations rejected the council.
Yemen's war pits troops and militiamen loyal to the fugitive former government, backed by a Saudi-led coalition, against the Houthis and Saleh loyalists.
The Houthis captured Sana'a in 2014, and the US-backed coalition began its offensive against them in March 2015.