It was one of the biggest protests in years with at least 15,000 people, police said. “Down with feudalism, long live the people,” chanted some.
There were no reports of violence.
Since July, rallies have called for the resignation of Prime Minister Prayuth Chan-ocha who took power in a 2014 coup and won disputed elections last year.
Saturday’s student-led demonstration moved from the campus of Thammasat University to a park next to a grand palace used for royal ceremonies.
Demonstrators say they plan to stay overnight and march to the offices of the prime minister on Sunday morning.