Organisers said tens of thousands of people took part.
Protesters who for five months have been demanding the ouster of President Ali Abdullah Saleh, have been pressing his deputy Abdrabuh Mansur Hadi to set up a transitional council since Saleh was flown to Riyadh earlier his month for treatment for blast wounds sustained in an explosion in his palace.
The demonstrators also chanted slogans calling for the removal of Saleh relatives from security bodies, including his son Ahmed and nephew Ammar, who head the elite Presidential Guard and National Security force respectively.
"Ahmed and Ammar, get out!" they chanted.
Mohammed Qahtan, the spokesman of the parliamentary opposition, said Saleh's relatives believed their authority to be hereditary.
"The fact that the sons consider power to be hereditary hinders the transfer of power," he told AFP.
Saleh was flown to Riyadh on June 4 on board a Saudi medical aircraft, a day after an explosion at a mosque in his Sanaa presidential compound. He has not been seen in public since then.
Officials insist that Saleh will return to Yemen to assume his post soon, but a Saudi official told AFP last week that the veteran leader will not go back home.
On Friday, hundreds of thousands of Yemenis held protests across the impoverished state, pushing for the swift formation of the interim council.
Living conditions in Yemen have worsened, with a severe shortage of power, fuel and water.
Meanwhile, fighting raged in Zinjibar in the lawless southern region of Abyan, where gunmen suspected of links to Al-Qaeda overran most of the city.
An officer from the 119th Artillery Brigade said army units "fought fierce battles on Sunday night with Ansar al-Sharia (Supporters of Islamic Sharia law) gunmen connected to Al-Qaeda."
"Six members of the brigade were killed, including Colonel Jamal al-Jaafi, and eight others were wounded," he told AFP, adding that the militants had also suffered casualties.
He said that air support had been called in and warplanes hit several areas held by the militants.
Hundreds of gunmen took control of Zinjibar on May 29 in battles in which some 90 soldiers died.
Officials say the militants are connected to Al-Qaeda, but Saleh opponents accuse his government of exaggerating a jihadist threat to head off Western pressure on his 33-year rule.
Yemen is the home of Al-Qaeda in the Arabian Peninsula, an affiliate of the slain Osama bin Laden's militant network. The group is accused of anti-US plots including an attempt to blow up a US-bound aircraft on Christmas Day, 2009.