Shortly after 9:00pm (1400 GMT), Thaksin's image appeared on several large video screens at the demonstration site, setting off enthusiastic cheering by his supporters.
Organisers said Thaksin taped his speech in London, where he maintains a residence.
The protest on Friday also drew other opponents of the current military-installed government who do not like Thaksin but would like to see a quick return to democracy.
Thaksin's appearance was a direct challenge to the government that replaced him and which has made clear to the mainstream media that he should not be given publicity.
Thaksin's video speech, which began with a litany of complaints that he had been treated unfairly by his successors, came after he suffered two strong blows against his legacy.
Last month a court ordered his Thai Rak Thai party dissolved because of earlier electoral law violations.
Last week a special anti-graft panel ordered the freezing of his bank accounts in Thailand, containing more than $1.6bn, because of suspicion the money might have been obtained by corruption.
"It is the justice system which is very unjust. I will fight to regain my dignity," Thaksin said, also urging a return to democracy.
Coup leaders, who removed Thaksin from power in a bloodless takeover last September while he was overseas, said they would allow the speech to be shown at the rally but warned they might impose emergency rule if there was violence.