A further seven were injured by gunfire as the crowd headed for the presidency to demand the resignation of interim president Catherine Samba Panza following weekend violence in Bangui that claimed at least 20 lives, said the source, who spoke on condition of anonymity.
Samba Panza is currently in New York attending the UN General Assembly.
After the break-up of the protest, shooting broke out elsewhere in the city, and the hospital source said a teenager had died after being hit by "a stray bullet".
Medical sources have said that in addition to the more than 20 dead, around 100 people were wounded in Saturday's violence sparked by the murder of a motorcycle-taxi driver in central Bangui's Muslim-majority PK-5 neighbourhood.
The area was the epicentre of unprecedented killings between Christians and Muslims in the city in late 2013 and early 2014.
French soldiers and UN peacekeepers remain in the former French colony where thousands of people died in the violence and hundreds of thousands remain displaced from their homes.