Activists in the Ansarullah, or Huthi, rebellion erected dozens of tents at the western edge of Sanaa.
Guarded by armed men, rebels were also putting up similar camps in the north and south of the city, AFP journalists reported.
Around 5,000 men arrived in the capital from Saada province, a traditional stronghold of the Ansarullah rebellion.
Rebel leader Abdul Malik Huthi on Sunday ordered his followers to march on Sanaa to bring about "the fall of the government, which has failed".
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The protests have been fuelled by a steep increase in petrol prices that has had a major impact on household budgets in the impoverished country.
Tens of thousands of Shiite rebels demonstrated in Sanaa city centre on today.
The programme of protests will go on until Friday and "we will not yield", one rebel told AFP.
"President Abdrabuh Mansur Hadi should listen to the voice of the people, or we will overthrow this corrupt government which has starved the people," the militant said at one of the sit-ins.
He accused the rebels of "irresponsible" actions and proposed holding a "national emergency" conference to preserve a political transition process started after the ouster of his predecessor, Ali Abdullah Saleh, in early 2012 following a year of nationwide protests.
Hadi warned of "firm and legal action" if the protests ran out of control.
Security forces have stepped up their presence at the western edge of Sanaa.
"We have been charged with ensuring safety and preventing armed groups from entering Sanaa," Abdulghani Tajeddin, commander of a local unit, told AFP.
The face-off could degenerate if the rebels seek to escalate their action, political sources said.