The explosion occurred around 9pm local time in a car park outside the Criminal Court on Ratchadaphisek Road, one of the main thoroughfares running through Thailand's capital.
An AFP reporter saw a large police and military presence at the blast site with forensic investigators examining a small crater and the scene cordoned off.
"It's definitely a bomb," Anupong Paojinda, the interior minister in Thailand's junta government, told AFP.
He said two people had been arrested before adding: "I would like to say these people are troublemakers."
Police at the site said no-one had been injured by the blast.
The latest blast comes just over a month after twin pipe bombs exploded outside a downtown shopping mall slightly injuring two people in what was the first major disruption to an uneasy peace imposed under martial law since last May's coup.
Authorities say they are looking for two men seen on CCTV shortly before those bombs detonated.
The explosions come at a time of heightened political tension in the deeply divided nation.
Thailand has been under martial law since the coup toppled the elected government last year, despite growing calls from rights groups and the international community for the junta to rescind the draconian law.
Martial law also allows civilians to be tried in military courts, with verdicts not subject to appeal.
The Thai junta has repeatedly justified martial law by saying Thailand's bitter political divisions need more time to heal, while they set about remodelling the kingdom's political structure.
Thailand has endured nearly a decade of political turmoil since billionaire former premier Thaksin Shinawatra rattled the establishment by winning elections with his populist politics.
Parties led by Thaksin, his family or affiliates have won every election since 2001, in the process facing two coups and the disposal of three premiers by Thailand's interventionist courts.
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