People's Democratic Reform Committee leader Suthep Thaugsuban led protesters to the Lumpini Park after the seven-hour march on the eve of elections for the upper house of parliament, whose members could decide Yingluck's fate.
Suthep, a former opposition Democrat Party MP, vowed not to allow the Parliament to be reopened unless reforms were fully done.
He said the PDRC would join hands with the people to fight to reform the country so that the nation "would have genuine democracy for the real benefits of the people."
"We march today to call for an end to the Thaksin regime, and show that the power truly belongs to the people," said a protest leader, Thaworn Senniem.
Today's protest march was the first major rally since Thailand's Constitutional Court on March 21 declared the February 2 general elections invalid.
"The fact that the election has been nullified means that our campaign is successful," Thaworn said.
"Now we must finish the job with reforms."
Yingluck's supporters, known as the Red Shirts, have generally kept a low profile during the anti-government protests.
The current Senate or upper house is pro-Thaksin, but that could change in tomorrow's election to fill 77 seats in the 150-seat Senate.
Thailand has been in political turmoil since mass rallies began in November with protesters demanding an un-elected People's Council to replace Yingluck's government.
The protesters accuse Yingluck of acting as a proxy for her fugitive brother, former premier Thaksin Shinawatra, who was ousted in a coup in 2006. He lives in self-exile in Dubai to escape a jail term on a corruption conviction.