The contract talks are hung up the issue of artificial intelligence.
"I think what scares our members about AI is the possibility that their image, their voice, their likeness is going to be taken and used without their consent, without compensation - that their careers could just go away because of AI," said Duncan Crabtree-Ireland, national executive director of the Screen Actors Guild-American Federation of Television and Radio Artists.
SAG-AFTRA game workers voted to strike last week after 18 months of contract talks with gaming giants.
"We are disappointed the union has chosen to walk away when we are so close to a deal, and we remain prepared to resume negotiations," said a statement from Audrey Cooling, a spokesperson for video game producers.
"We have already found common ground on 24 out of 25 proposals, including historic wage increases and additional safety provisions. Our offer is directly responsive to SAG-AFTRA's concerns and extends meaningful AI protections that include requiring consent and fair compensation to all performers working under the IMA."
Last year, film and TV actors went on strike for some four months. Those picketing on Thursday hope this strike won't last that long.
No new talks have been scheduled.
The Associated Press contributed to this report.