Waving flags and blowing whistles, protesters marched from Lumpini Park in the business district of Bangkok, where protesters retreated to earlier this month, toward the city's old quarter.
"There are enough protesters to cause traffic headaches but there are less participants than at past rallies," Paradorn Pattanathabutr, a security adviser to the prime minister, told Reuters.
"We think the crowd will swell to 50,000 people. Protesters are still trickling in from outside the capital and we have 8,000 police on standby if violence takes place but, overall, we're not expecting anything to happen."
Thailand has been in crisis since former premier Thaksin Shinawatra, Yingluck's brother, was ousted in a 2006 coup. The conflict broadly pits the Bangkok-based middle class and royalist establishment against the mostly poorer, rural supporters of the Shinawatras.
Saturday's march is seen as a test of the anti-government movement's popularity as the number of protesters has dwindled considerably in recent weeks.