"We will teach the government a lesson - that every road belongs to the people," one of the protest leaders, Nattawut Saikua, told the Associated Press new agency.
With tensions running high, tens of thousands of demonstrators pushed against police lines early on Tuesday, pelting police with eggs and plastic water bottles.
The clashes follow more than three weeks of protests by the red shirts who want the Thai prime minister, Abhisit Vejjajiva, to dissolve his government and call new elections.
Abhisit has offered to call elections by December, a year ahead of schedule, but the protesters have said they want to see action much sooner.
Many of the protesters are supporters of Thaksin Shinawatra, the former prime minister, who was ousted in a 2006 military coup.
The red shirt movement - known formally as the United Front for Democracy Against Dictatorship - contends that Abhisit, who became prime minister in December 2008, came to power illegitimately.
The Thai government, for its part, has reiterated that it wants to solve the crisis peacefully.
"Under the current climate, many citizens wouldn't want violence to take place or confrontation. And we've been mindful of that concern. It's the direction that informed our actions," Panithan Wattanayakorn, a government spokesman, told reporters as Tuesday's clashes began.
The protests have caused widespread disruption in the Thai capital and business leaders have warned that unless the crisis is brought to a swift end it will inflict lasting damage on the economy.
More than a dozen malls in one of Bangkok's top shopping districts have been forced to close as a result of the protests, with many nearby hotels reporting an exodus of tourists.