Gunfire was heard during the clashes near Rajamangala Stadium between protesters and "red shirts" or supporters of Yingluck's brother, former premier Thaksin Shinawatra, who is currently in self-exile.
The protesters also attacked a bus and a taxi carrying "red shirt" supporters near the stadium, the first incidents of violence after a week of opposition protests led by former deputy premier Suthep Thaugsuban.
It was not immediately clear who fired the shots. Police confirmed that a man was killed and five others were injured.
The siege came a day after hundreds forced their way into the army headquarters in central Bangkok, urging military leaders to support their campaign against the embattled premier.
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Thousands of "red shirts" also converged in the capital today for a pro-government rally. The crowd at Rajamangala Stadium was estimated at 70,000, media report said.
Thaugsuban, the leader of the protesters, declared that tomorrow would be their "victory day" and the demonstrations would be intensified even if breaking the law is required.
"We need to break the law a little bit to achieve our goals," he told protesters, who resorted to blowing whistles at the people they are upset with.