Chanting "Get out! Get out!", they ringed Government House and listened to fiery anti-Abhisit speeches from the protest's leaders.
"Today we have only one aim, to oust this government," said protest leader Jatuporn Prompan.
He said thousands of UDD supporters had defied the military and government to come to the capital from other parts of Thailand.
"We only want to chase the government out, not do anything else, because the government is supported by the army," said one protester, Saming Saelin.
"When it's supported by the army how can democracy go on? Impossible."
The protesters also criticised government cheques of 2,000 baht ($56; £39) distributed to millions of low-income earners in an attempt to stimulate the economy.
As the first of the cheques were distributed just hours before the protest began, Mr Abhisit defended the "help the nation" scheme as a way to quickly get money into the economy.
Thailand is going through its worst economic slump since the late 1990s as exports are hit by plunging international demand.
Thai politics have been in turmoil since Thaksin was ousted in a coup in 2006. A court sentenced him in absentia to two years in prison on corruption charges, and he has been living in self-imposed exile since.
After a year of military rule, a general election was held which returned a pro-Thaksin government.
But that government was effectively paralysed by a long-running campaign by thousands of anti-Thaksin demonstrators who took to the streets clad in yellow shirts.
Their campaign succeeded in December when a court dissolved the government led by Thaksin's brother-in-law.
The parliament then elected Mr Abhisit as prime minister.
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