Yemeni authorities speaking at the rally called for "national reconciliation" and a further deployment of forces against the Saudi aggression, Yemen's Arabic-language al-Masirah news network reported on Friday.
Authorities also warned Riyadh that continued aggression and failure to accept a ceasefire proposed by Yemen would result in more serious strikes from Yemeni forces.
During the rally, demonstrators carried images of Yemeni soldiers who had lost their lives during the operation as act of commemoration.
Demonstrators also decried "Washington's policies in the region" and called for Muslim and Arab states to unite against the "oppressors", chanting slogans expressing support for the Palestinian cause.
"(We are) headed toward al-Aqsa," they chanted, referring to the al-Aqsa Mosque in occupied Jerusalem al-Quds.
Friday's protests came a week after Yemeni forces, led by the popular Houthi Ansarullah movement, announced the conclusion of a major ground operation against Saudi-led mercenaries dubbed "Victory from God Almighty".
Yemeni forces killed some 200 Saudi-backed mercenaries and took 2,000 others prisoner in the offensive.
The operation marked one of Yemen's most successful military operations repelling the Saudi-led aggression against the country.
Saudi Arabia and a number of its regional allies launched the war on Yemen in March 2015, with the goal of bringing the government of former president Abd Rabbuh Mansur Hadi back to power and crushing the Ansarullah movement.