Police fired 10 tear gas canisters at a group of demonstrators who removed barbed wire and barriers blocking their route past a UN building close to the main protest site, police said.
"So far tear gas was used in one area because protesters did not comply with the rules," said national police spokesman Major General Piya Uthayo. "No casualties were reported."
Thousands of police have been deployed for the rally at the Royal Plaza which is organised by the royalist group Pitak Siam, which opposes Prime Minister Yingluck Shinawatra's government.
The authorities expect tens of thousands of people to attend the demonstration, the first major street protest against Yingluck's 16-month-old administration.
Police estimated that about 10,000 protesters were gathered by about 9:00 am.
The government has invoked a special security law, the Internal Security Act, in three districts of the capital to cope with possible unrest.
Yingluck on Thursday voiced fears the protesters aimed to use violence and to "overthrow an elected government and democratic rule", in a televised address to the nation.
Politically turbulent Thailand has been rocked by a series of sometimes violent rival street protests in recent years, although an uneasy calm has returned after national elections in 2011.
Two months of mass opposition protests in 2010 by "Red Shirt" supporters of ousted premier Thaksin Shinawatra sparked a deadly military crackdown that left about 90 people dead and nearly 1,900 wounded.
Thaksin's sister Yingluck is now prime minister after his political allies won a landslide election victory last year.