Some demonstrators could be seen with bloodied faces after they pushed through ranks of police with cries of "Russia!" and "Fascism will not pass!", an AFP reporter witnessed.
They then broke into the building and occupied the three lower floors.
Pro-Russian forces had already taken over the building on Monday and hoisted the Russian flag in a city that is a stronghold of Ukraine's former pro-Moscow president Viktor Yanukovych, ousted last month.
They were however evacuated by police earlier today under the pretext of a bomb threat and the Russian flag was lowered to be replaced again by the Ukrainian blue-and-yellow.
Yesterday, some 1,500 people had gathered there for a similar rally, holding signs that read "I am from Donetsk, I am Ukrainian" and "We do not want to join Russia.