A 31-year-old woman was shot while walking on the street and a taxi driver was wounded in the leg while driving near the protest venue of Lumpini Park, said police Col. Chaiya Kongsub.
He said the bullets came from inside the park but did not say who fired the shots.
Protest spokesman Akanat Promphan said he was unaware of the incident.
Erawan emergency medical services said both of the wounded have been discharged from hospitals.
Twenty-three people have been killed and more than 700 injured since Thailand's latest round of political conflict began last November. Protesters want the prime minister to resign, but she is refusing.