The new show of strength by the anti-government movement came on the eve of elections for the upper house of parliament, whose members could decide Yingluck's fate.
"I have come out to preserve democracy," said protester Jirapa Tantingarmkasem, who joined the march from the rally base in Lumpini Park to the city's Royal Plaza.
"I ask everyone to come out to protest. Fight! Fight!"
Hundreds of demonstrators also swarmed into the grounds of the government headquarters, which have not been used by Yingluck's cabinet for months because of protests targeting state buildings.
Thailand is bitterly divided between opponents and supporters of her elder brother, the fugitive former premier Thaksin Shinawatra.
The billionaire tycoon-turned-politician was toppled in a coup in 2006 after clashing with the royalist establishment. He fled Thailand in 2008 to avoid jail for a corruption conviction and lives in Dubai.
Political violence, often targeting protesters, has left 23 people dead and hundreds wounded in grenade attacks and shootings in recent months, although the bloodshed has abated since the rallies were scaled back at the start of March.
The opposition movement wants to install a temporary unelected government to oversee electoral and anti-corruption reforms before new polls are held.
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