Police officers formed two large human barricades to prevent protesters reaching the army building, but each barricade was peacefully dispersed following negotiations between officers and rally organisers.
As they marched towards the headquarters, the crowd shouted: "Thaksin come back! The CNS Get Out!" referring to the junta, which calls itself the Council for National Security (CNS).
Earlier on Saturday, army commander General Sonthi Boonyaratglin, who led last year's coup, said the situation remained under control.
"There is nothing to worry about ... they [protesters] can come, but everything will be within the rule of law," he said according to the state Thai News Agency.
Thaksin has lived in exile since the bloodless coup. His allies, who have organised daily anti-junta protests, claimed some 40,000 people joined Saturday's rally.
Pro-Thaksin groups have said they will continue daily demonstrations until a major anti-junta rally scheduled for June 24.
In May, Thailand's Constitutional Tribunal dissolved Thaksin's Thai Rak Thai (TRT) party and barred Thaksin and 110 senior party leaders from politics for five years due to election law violations.
|The protest has so far been peaceful [AFP]|
The judges at the tribunal were appointed by the military. The same court cleared the Democrat Party, TRT's main political rival, of similar vote fraud charges.
The junta has justified the coup by saying Thaksin was corrupt and it would probe alleged graft during his five years in office.