An Associated Press journalist saw riot police advance from multiple locations to force out a few hundred protesters who remained outside Government House, the seat of Prime Minister Prayuth Chan-ocha.
Protesters were seen taken away into police trucks.
Local media reported that the police operation came after Mr Prayuth declared a severe state of emergency in the Bangkok area to allow authorities to move against the protests.
Thailand is technically still under a state of emergency as part of coronavirus restrictions.
Before the police dispersal, a large number of protesters had already left the area after one of the their leaders announced the end of the rally at Government House, though a few hundred stayed on.
It was also announced that the rally would move to a different location in the capital on Thursday afternoon.
The latest rally started on Wednesday with thousands of protesters marching from Bangkok’s Democracy Monument to Government House.
It was the third major gathering by activists who want to keep up the momentum in their campaign for democratic change.
The protesters have drawn attention because of their demands for reforms to Thailand’s constitutional monarchy, which they claim does not properly operate in a democratic framework.
That demand has caused a huge controversy because the royal institution has long been considered sacrosanct and a pillar of Thai identity.
It is also protected by a lese majeste law that mandates three to 15 years in prison for defaming the monarchy.
Conservative royalist Thais accuse them of seeking to end the monarchy, an allegation they deny.
Before leaving Democracy Monument, several small clashes broke out between protesters and their opponents, who traded punches and threw plastic bottles as police tried to keep them apart.
The protest movement was launched in March by university students but quickly put on hold as Thailand was gripped by surges in coronavirus cases.
It came back in July, when the threat from the virus eased, and since then has again been spearheaded by students and publicised on social media.
The movement’s original core demands were new elections, changes in the constitution to make it more democratic, and an end to intimidation of activists.
The protesters charge that Mr Prayuth, who as army commander led a 2014 coup that toppled an elected government, was returned to power unfairly in last year’s general election because laws had been changed to favour a pro-military party.
Protesters say a constitution promulgated under military rule is undemocratic.
