The mass demonstration marks the second anniversary of the start of the Saudi coalition's campaign, which began in March 2015.
Riyadh intervened in support of the government of President Abedrabbo Mansour Hadi, who had been ousted from Yemen's capital by Houthi rebels.
The military campaign, which has included numerous airstrikes, has drawn widespread criticism, as well as accusations of war crimes.
The Saudi-led coalition's war against Houthi rebels in Yemen has cost more than 10,000 lives since March 2015 and brought the country to the brink of famine.
Some 7.3 million people are estimated to be close to starvation and 462,000 children suffer from serious malnutrition. Without $2.1 billion in international aid, the UN warns that Yemen will suffer a famine in 2017.
