The pre-dawn attack follows weeks of protests demanding resignation of Prime Minister Yingluck Shinawatra, triggering bloody clashes between police and opposition demonstrators.
"All of them were shot around 03.30 a.M. Near the gate number 4 of Government House," the Bangkok Administration's Erawan Emergency Medical Services Centre said.
"The dead man is in his 30s. He was shot in the torso," a spokesman for the centre said. It was unclear who fired the shots.
A police officer was killed and 143 people including protesters, journalists and policemen were injured after violence erupted at the Thai-Japanese Stadium on Thursday.
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With one more death today, the toll has now rose to three in the latest bout of political violence in Thailand.
The protesters have been demanding Yingluck's resignation since mid-October. The protests began after her government tried to introduce an amnesty bill that would have paved the way for the return of her brother, controversial former premier Thaksin Shinawatra currently in self-exile in Dubai.
The Election Commission and the caretaker government are bracing for further violence during registration for constituency candidates which starts nationwide today.
Anti-government protest leader Suthep Thaugsuban last night urged EC officials in every province to listen to the people's demand for reform before the election.
He also told his supporters to prepare for a major rally after the New Year holiday when he warned the People's Democratic Reform Committee (PDRC) will shut down the capital.