The army chief imposed the 22:00 to 05:00 curfew, along with a ban on political gatherings and suspension of normal television programming.
Key political figures have been detained and others ordered to report to the military.
The army said it needed to restore order and enact political reforms.
It declared martial law on Tuesday but then gathered political leaders together for talks on the crisis.
However, army chief Gen Prayuth Chan-ocha went on air on Thursday to announce the coup.
Acting PM Niwatthamrong Boonsongphaisan was not at the talks and his whereabouts are unclear. However, he and all cabinet ministers were ordered to report to the military on Thursday.
‘In the dark’
Protest groups in and around Bangkok have been dispersed but the operations are reported to have been largely peaceful.
One key flashpoint was the pro-government “red shirt” protest camp on Bangkok’s western outskirts.
Hundreds of troops blocked cars from getting within 2km (1.2 miles) of the site – which was left eerily quiet as protesters packed up.
One of them, Eungkan, told Reuters news agency: “The troops came, the leaders left. We weren’t scared. This coup will not help anyone; it won’t help this country.”
Reuters also quoted Phuttiphong Khamhaengphon, a red shirt leader from the north-eastern town of Khon Kaen as saying: “We are completely in the dark. We haven’t had any orders or coordination yet.”
Anti-government protesters were also seen packing up in central Bangkok.
The first curfew has started, but as the deadline loomed there was heavy traffic on the streets of the capital with people trying to get home.
The army has staged at least 12 coups since the end of the absolute monarchy in 1932.
One Bangkok flower seller, Pinkaew Pipatada, 65, was witnessing a fourth coup and said: “I hope the soldiers have come out this time to solve the problem once and for all.”
Television has been restricted to broadcasts by the military. The BBC, CNN and other channels are off air.
The military issued a second bulletin in the afternoon, spelling out the key points of the takeover:
The UN responded to the coup by expressing “serious concern”, with Secretary General Ban Ki-moon urging a “prompt return to constitutional, civilian, democratic rule”.
The UK echoed the call, urging “all sides to put aside their differences, and adhere to the values of democracy and the rule of law”.
French President Francois Hollande condemned the coup and called for early elections.
The US said it was reviewing military ties.
The latest unrest began in the Thai capital late last year, when then-PM Yingluck Shinawatra dissolved the lower house of parliament.
A court ordered her removal for alleged abuse of power this month.
Thailand has faced a power struggle since Ms Yingluck’s brother, Thaksin Shinawatra, was ousted by the military as PM in 2006.
Mr Thaksin and Ms Yingluck have strong support in rural areas. They are opposed by many in the middle class and urban elite.