It is the third general election since 2012 in Lesotho, where years of political in-fighting have undermined attempts to tackle dire poverty and unemployment.
Long queues formed outside polling stations from early morning, with many voters wearing traditional Basotho blankets to ward off the winter chill.
The snap election was announced in March when Prime Minister Pakalitha Mosisili lost a no-confidence vote after his seven-party coalition government broke up less than two years after it was formed.
Thabane has drawn large crowds to his rallies and is seen as the narrow favourite.
Protests could break out if Mosisili is defeated and he refuses to concede power, "as his attitude and actions suggest he might," said Peter Fabricius of the Pretoria-based Institute for Security Studies.
In a research report, Fabricius said SADC, the southern African regional body, had made it clear to Mosisili that "it will not tolerate any theft of the election."
"It is not likely that a single party will garner a majority of votes," political analyst Mafa Sejanamane, of the National University of Lesotho, told AFP.
"The urban vote is largely set to go to the ABC. The vote in rural areas is now likely to be shared between the DC and its splinter, the Alliance of Democrats."
The mountainous country suffers high unemployment and a 22.7 per cent HIV-AIDS rate in adults, with an economy dependent on South Africa, which surrounds it completely.
"We just voted two years ago and that government did not do much for the people."
According to the electoral commission, 1.2 million people have registered to vote.
Thabane was forced to flee to South Africa in 2014 after an attempted coup by the army.
"It was the most undignified thing that happened to me, to wear (just) my pants... And go through the fence with my wife, running away from the state house," Thabane told AFP on the campaign trail.
Critics accuse the Lesotho army of meddling in politics and of favouring Mosisili.
Lesotho is a constitutional monarchy ruled by King Letsie III, who has no formal power, and it has a mixed parliamentary system.
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