PAD which has been calling for Samak's resignation for almost a month, declared the demonstration a "D-day showdown".
"This is victory for PAD and the peaceful methods we have employed without any bloodshed or clashes," Suriyasai Katasila, PAD's spokesman said in a speech.
Al Jazeera's Selina Downes said the concern now was whether the Thai military will intervene to control the situation.
In 2005, the PAD led rallies against Thaksin Shinawatra, the former prime minister, before he was removed in a military coup in September the following year.
Officials ordered schools and government offices around Government House to close.
Wichianchote Sukchotrat, a government spokesman, said the closures would "allow police to work smoothly".
All ministers, including Samak, were also either on leave or posted at other locations.
A group of government supporters also gathered to try to stop the anti-government march.
Despite claims of staging a peaceful rally, PAD's security wardens reportedly carried baseball bats, plastic helmets and wooden shields, some bearing pictures of King Bhumibol Adulyadej.
|Protests have been going on in Bangkok for nearly a month [EPA]
Lieutenant-General Aswin Kwanmuang, the city police chief, asked leaders of the planned rally to cancel it and not to "damage the country further".
"Political problems should be solved in parliament, not on the street," he said.
The country's stock market has fallen more than 13 per cent since PAD started its campaign on May 25 amid fears of another coup.
The PAD campaign has so far managed to muster a few thousand supporters but numbers could be higher after trade union leaders at the main state power provider said they would join the rally.