Large crowds carrying Thai flags marched along several routes from the main park in Bangkok.
It was the first major protest rally to take place since a Thai court ruled the February 2 general election invalid.
Until recently, Thailand had seen an ease in tensions since anti-government demonstrations began four months ago.
Anti-government activists want PM Yingluck Shinawatra to step down and the political system to be reformed.
At the height of the demonstrations, which began in November, protesters shut down key road junctions in Bangkok and blockaded government ministries.
Saturday’s demonstrators, led by protest leader Suthep Thaugsuban, marched from Bangkok’s Lumpini Park along six different routes through the city centre.
”We want to tell the government that the people don’t accept them anymore and the people really want reform of the country immediately,” Suthep Thaugsuban told reporters.
Suthep Thaugsuban warned the authorities against attempting to organize a re-run of the elections, saying any future poll would be boycotted.
The march comes a week after Thailand’s Constitutional Court ruled the February 2 general election invalid.
Yingluck Shinawatra’s ruling party was expected to win the poll, but the opposition boycotted it and protesters disrupted voting, meaning the election has not been completed.
The protesters, who are mainly urban and middle class, want Yingluck Shinawatra’s government replaced by an unelected “people’s council”.
They accuse the Thai government of being run by PM Yingluck Shinawatra’s brother and ousted former leader, Thaksin Shinawatra.
Yingluck Shinawatra, who has dismissed calls to step down, is currently facing charges of negligence over a government rice subsidy scheme, which critics say was rife with corruption.
She is expected to submit her defense to the National Anti-Corruption Commission on Monday.
If found guilty, Yingluck Shinawatra could be removed from office and faces a five-year ban from politics.
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