More than 5000 people blew whistles and temporarily halted traffic in Bangkok's financial district of Silom to protest over the legislation, which has been approved by the lower house of parliament.
About 15,000 others joined a peaceful march by the opposition Democrat Party through another part of the city. The party had staged a rally that has drawn thousands of supporters since Thursday.
The bill would grant amnesties to those involved in the sometimes violent political conflict that has sharply divided the country for almost a decade.
The Democrat Party says the legislation is intended to whitewash Mr Thaksin's alleged crimes and allow his return.
March leader Suthep Thaugsuban, from the Democrat Party, said: "We will keep on fighting against the amnesty bill and pursue those who are corrupt to the fullest, until the bill is doomed and cancelled."
After being overthrown in a 2006 military coup, Mr Thaksin fled into exile in 2008 to avoid serving a two-year prison sentence on a corruption conviction.
His sister, the present Prime Minister Yingluck Shinawatra, has distanced herself from the amnesty vote.