One protester, Attayoub Maiga, said demonstrators were marching peacefully today when police opened fire as they approached the town's central market near police headquarters. There was no immediate comment from police.
The Malian government had banned the demonstration of people opposed to a peace accord signed more than a year ago with various armed groups in the north.
Boubacar Maiga, an official at Gao's hospital, confirmed the deaths.
Despite the peace accord, extremists have continued to mount attacks against Malian soldiers and UN peacekeepers.