Lesotho Mounted Police Service spokesman Lebona Mohloboli confirmed to AFP that "two police officers (were) shot and injured."
The gunfire exchange took place last night on the outskirts of Maseru and outside the neighbouring houses of a senior government official and a military officer who is reportedly wanted in connection with the attempted coup.
Details were still sketchy today.
"We're still trying to figure out exactly what happened," Tumisang Mosotho, a senior adviser to Prime Minister Tom Thabane told AFP.
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Government secretary Moahloli Mphaka, claiming he was the target of Tuesday's attack, told South Africa's state broadcaster that he fled his home when soldiers exchanged shots with the police officers guarding his house.
"I was able to escape and hide," he told SABC.
His neighbour is a military guard officer for deputy Prime Minister Mothetjoa Metsing, whom police are probing for "high treason" over his alleged role in the botched August 30 putsch.
Residents in the neighbourhood described the exchange of gunfire as "terrifying".
"It went on for an hour, with too many gunshots to count. First pistols, then automatic weapons that went rat-a-tat-tat-tat," said one resident who cowered with his wife in their home.