The operation began at dawn, and by evening officials said they had put 2,031 people on buses to newly opened camps near Greece's second city Thessaloniki, about 80 kilometres to the south.
"The operation will continue today," Greece's migrant crisis coordination office said in a statement.
The group transferred yesterday included 662 Syrians, 1,273 Kurds and 96 Yazidis.
A hundred of them refused to enter the new centre and headed off by foot to downtown Thessaloniki, a police source said.
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The border is one of several in the Balkans closed since mid-February as countries on the migrant route have sought to halt the influx.
Around 700 police officers, assisted by a helicopter, took part in yesterday's operation but most media were kept at a distance.
ERT state television and state news agency ANA later showed migrants patiently queueing up to board buses and being driven away, some waving at the camera.
Many carried their belongings in huge bin bags, while others piled possessions into pushchairs.
"It is all going well, perhaps better than we expected. The migrants are tired and no longer expect the borders to be reopened," a police source said.
The transfer comes after a brutal winter of freezing rain and mud which saw many people trying to force their way across the border, sometimes resulting in violent encounters with Macedonian police.
At midday, bulldozers moved in to clear out tents, according to tweets from activists at the camp.