In their largest show of force in months, the pro-government "red shirts", or United Front for Democracy Against Dictatorship as the group is formally known, said they were prepared to thwart any move to dismiss Yingluck who faces mounting legal cases that could see her removed from office in coming weeks.
Leaders of the movement said they were not seeking a fight with the thousands of anti-government protesters holding their own rally at their headquarters in Bangkok's Lumpini Park, near the city's financial district.
The red shirts were gathering on a scenic country road at the edge of the city, more than 30 km (18 miles) from Lumpini. Around 3,000 police were on guard.
"We're not looking for a confrontation with the anti-government crowd," red shirt leader Jatuporn Promphan told Reuters. "This is about showing our strength and to warn the elite that we will not accept it if Yingluck is removed by the courts."
Government supporters accuse Yingluck's enemies of plotting a judicial coup. The courts have been unusually active in recent weeks and Yingluck looks increasingly hemmed in, Reuters reported.
Red shirt leaders expect more than 500,000 to show up but others gave a more conservative estimate.
"The road the red shirts have chosen can accommodate 300,000 at a push. So far, 10,000 demonstrators have arrived but we expect this number to increase steadily throughout the day," Paradorn Pattanathabutr, a security adviser to the prime minister, told Reuters.
Many had packed for a long stay, bringing portable gas stoves and food supplies to last a week.
The struggle pits the mostly poorer, rural supporters of Yingluck and her brother, ousted former premier Thaksin Shinawatra, against anti-government protesters from Bangkok and the south backed by the conservative elite.