Around 20 women, dressed head to toe in black, did not hide their loyalty to the leader of three decades, who was killed by the Iran-backed rebels on Monday after their uneasy alliance collapsed.
"There is no God but God and the martyr is a friend of God," they shouted in front of the Saleh mosque, the largest in the capital and named for the former president.
The rebels dispersed the protest but video footage of the women fleeing the scene was posted on social media.
Yemen's ex-president Saleh killed in RPG, gun attack on his car
A second group of women gathered in front of Sanaa military hospital, shouting: "The people want the remains of the leader," witnesses said.
It was unclear on Wednesday whether the Houthis had already buried Saleh's body.
Saleh had joined forces with the Houthis in 2014 when they took control of large parts of the country, including the capital. But that alliance unravelled over the past week as the former leader reached out to the Saudi-led coalition that has waged an air campaign against the Houthis since March 2015.
A least 234 people were killed in fighting that the International Committee of the Red Cross described as the fiercest since the start of the conflict.
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