Yingluck's supporters say they are holding the rally to deter her opponents from attempts to oust her.
Jatuporn Promphan, the chairman of the pro-government United Front for Democracy Against Dictatorship (UDD), said judicial institutions were trying “to take over power without elections”.
“What we are most concerned about - that we want to warn all sides against - is a civil war, which we do not want to happen,” he said.
“It will happen if there is a coup and democracy is stolen.”
As the red-shirts gathered, anti-government protest leader Suthep Thaugsuban rallied supporters 20 kilometres to the east in Lumpini Park for a “final battle”.