"We demand that the government returns power to the people because they do not have the mandate of the majority," said Jatuporn Phromphan, a protest leader.
"We will continue to pressure them until they quit."
Later the demonstrators began a march to Government House - the prime minister's office - to present their demands.
Police said they would not interfere with the rally so long as it remained peaceful.
Last year, Thailand saw rallies by a rival group, the yellow-clad anti-Thaksin People's Alliance for Democracy, which occupied the main government offices for three months.
The pro-Thaksin demonstrators, who wear red in contrast to their rivals, said they would stop short of entering the government compound.
"We will not go inside Government House," Jatuporn told the crowd.
The protesters spent nearly two hours marching towards Government House, arriving just before midnight (17:00GMT) after making their way past four steel barricades across their route, manned by unarmed riot police.
Rally leaders read a list of demands to the cheering crowd, vowing to return and stage a permanent protest in 15 days if their demands were not met.
"During those 15 days we will keep monitoring how the government intend to meet our demands. If we are not satisfied we will come back," Veera Musikapong, another rally leader, told supporters.
Minister under pressure
Saturday's rally was organised by the Democratic Alliance Against Dictatorship.
The group is a mix of Thaksin loyalists, rural farmers and labourers, all of whom benefited from Thaksin's policies when he was in power.
The protesters are also calling for the resignation of Kasit Piromya, Thailand's foreign minister, who was a vocal supporter of the anti-Thaksin demonstrations.
Thaksin's supporters have staged small and sporadic protests but have so far failed to significantly disrupt the work of the new government.
Thaksin, a former telecommunications tycoon, remains popular among the rural majority for introducing a slew of social welfare plans, including virtually free medical care.