Mr Suthep's 15km route started from On-nuj Skytrain station and moved along Sukhumvit, Ekamai, Petchaburi, Thonglor, and Rajdamri roads before ending at the Lumpini Park rally site.
Security for him was tight as he was welcomed and cheered by supporters on both sides of the roads.
Mr Suthep's march began only hours after three M79 grenades were fired into a rally site of the People's Democratic Reform Committee (PDRC) on Chaeng Wattana Road where Buddhist monk Phra Buddha Issara has led demonstrators at Chaeng Wattana site for months.
One grenade fell about 100 metres from the monk's shelter, while two others fell into a nearby army base.
No one was injured from the explosions.
Mr Suthep is PDRC secretary general and has led the rally at Lumpini.