The protesters broke open a gate, held a rally in the compound asking for the army’s help in their campaign, and later withdrew without confrontation.
On Thursday, Thai Prime Minister Yingluck Shinawatra called for an end to the demonstrations after surviving a no-confidence vote.
But protest leader Suthep Thaugsuban has rejected her appeal.
“We will not let them work anymore,” the former senior opposition lawmaker said in a speech late on Thursday.
On Friday, at least 1,000 protesters forced their way into the army headquarters compound, but did not enter any buildings.
They urged the army to come out in support of the demonstrators.
“We want to know which side the army stands on,” Reuters news agency quoted one protester as saying.
Meanwhile security was tightened around the ruling Pheu Thai party headquarters, where more protesters had massed.
Demonstrators have been surrounding and occupying official buildings this week in an attempt to disrupt the government.
During the demonstrations, which have been largely peaceful so far, participants have cut the electricity supply to the national police headquarters and forced the evacuation of Thailand’s top crime-fighting agency.
The protesters say Yingluck Shinawatra’s government is controlled by her brother, exiled former leader Thaksin Shinawatra.
Yingluck Shinawatra has invoked special powers allowing curfews and road closures, and police have also ordered the arrest of Suthep Thaugsuban – but so far no move has been made to detain him.
In a televised address on Thursday, Yingluck Shinawatra said the protesters should negotiate with the government.
“The government doesn’t want to enter into any political games because we believe it will cause the economy to deteriorate,” Yingluck Shinawatra said.
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