The rally comes amid reports that armed supporters of Saleh and the head of the country's Huthi rebels, who have been allied against the Saudi-backed government since 2014, had spread throughout the capital as tensions are rising between the two sides.
Demonstrators packed into Sabaeen Square, waving the flag of Saleh's General People's Congress and carrying pictures of the 75-year-old leader.
Travelling from provinces across the country, Yemenis made their way into the capital, pouring into the streets around Sabaeen in a show of force for the ex-president.
An AFP reporter in Sanaa said the Shiite Huthi rebels had set up checkpoints at the main entrances to the city but did not stop Saleh's supporters from reaching the square, where the rebels had also deployed but did not interfere with the rally.
Tension between Saleh and Abdul Malik al-Huthi, chief of the Iran-backed rebels, is at an unprecedented high.
The two have publicly accused each other of treason in recent days, with Saleh hinting his allies were merely "a militia" and the rebels warning the former president he would "bear the consequences" of the insult.
Saleh was a key ally of Saudi Arabia from the late 1970s, when he fought the Huthis for control of Yemen, until 2014.
His camp has accused the Huthis of aiming to consolidate their power in Sanaa.
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