Brandishing Iraqi flags and portraits of Sadr, the protesters gathered at the end of a bridge leading to Baghdad's heavily fortified "Green Zone" district of government buildings and foreign embassies, an AFP correspondent reported.
"All the people are with you Sayyed Muqtada," the protesters chanted, using his title as a descendant of the Prophet Mohammed, while some of them climbed onto a concrete barrier.
Sadr's bloc emerged from elections in October as the biggest parliamentary faction, but was still far short of a majority and, 10 months on, deadlock persists over the establishment of a new government.
Supporters of the Shia Muslim cleric oppose the recently announced candidacy of Mohammed Al-Sudani, a former minister and ex-provincial governor, who is the pro-Iran Coordination Framework's pick for premier.
The protests are the latest challenge for oil-rich Iraq, which remains mired in a political and a socioeconomic crisis despite elevated global crude prices.
Crowds of Sadr supporters on Wednesday breached the Green Zone despite volleys of tear gas fire from the police.
They occupied the parliament building, singing, dancing and taking selfies before leaving two hours later but only after Sadr told them to leave.
On Saturday, security forces shut off roads in the capital leading to the Green Zone with massive blocks of concrete.
"We are here for a revolution," said protester Haydar Al-Lami.
"We don't want the corrupt; we don't want those who have been in power to return… since 2003… they have only brought us harm."
Last month, Muqtada al-Sadr ordered his supporters in Iraq's parliament to resign.
Did this unexpected move simply hand power over to his rivals? Or was this a tactful political manoeuvre?
— The New Arab Voice (@TheNewArabVoice)
By convention, the post of prime minister goes to a leader from Iraq's Shia majority.
Sadr, a former militia leader, had initially supported the idea of a "majority government".
That would have sent his Shia adversaries from the pro-Iran Coordination Framework into opposition.
The Coordination Framework draws lawmakers from former Prime Minister Nouri Al-Maliki's party and the pro-Iran Fatah Alliance, the political arm of the Shia-led former paramilitary group Al-Hashd Al-Shaabi.
But last month Sadr's 73 lawmakers quit in a move seen as seeking to pressure his rivals to fast-track the establishment of a government.
Sixty-four new lawmakers were sworn in later in June, making the pro-Iran bloc the largest in parliament.