The crowd of about 1,200 people broke the padlocked gate at the Royal Thai Army compound and forced their way inside, saying they wanted to submit a letter to the army chief, said army spokesman Col. Sansern Kaewkamnerd.
The compound is next to the United Nation's Asia-Pacific headquarters in Bangkok.
"They are now gathering in the courtyard, but they have not entered buildings," Sansern said. "We will make them understand that this is a security area and we will ask them to leave."
Yingluck has been reluctant to use force to evict the opposition-led protesters for fear of escalating a tense political crisis and sparking bloodshed.
Security forces have done little to stop protesters who have spent the week seizing government buildings and camping out at several of them in an effort to force a government shutdown and get civil servants to join their rally.
Crowds of protesters have occupied the Finance Ministry since Monday and others remain holed up at a sprawling government complex that houses the Department of Special Investigations, the country's equivalent of the FBI. On Thursday, the demonstrators cut power at Bangkok's police headquarters and asked police to join their side.
The demonstrations that started Sunday have raised fears of fresh political turmoil and instability in Thailand and pose the biggest threat to Yingluck's administration since she came to power in 2011.
The protesters accuse Yingluck of serving as a proxy for her billionaire brother Thaksin Shinawatra—a former prime minister who was ousted in a 2006 military coup but retains strong support from the rural majority in Thailand.
Thaksin, who lives in Dubai to avoid serving a jail term for a corruption conviction he says was politically motivated, is a highly polarizing figure in Thailand. So much so, that an ill-advised bid to push a general amnesty law through parliament—which would have paved the way for his return—sparked the latest wave of protests earlier this month.
Crowd sizes peaked Sunday at over 100,000 and have dwindled in recent days to tens of thousands, but organizers are calling for bigger crowds over the weekend.
Protest leader Suthep Thaugsuban, who resigned as an opposition Democrat Party lawmaker to lead the protests, says he will not negotiate. He says his goal to rid the country of Thaksin's influence.