Police defended the firings of tear gas at protesters at two roadblocks, saying a large number tried to break into Government House, a report by The Nation newspaper said.
Police Maj. Gen. Piya Uthayoh said the protesters failed to follow police's warnings and some of them began to cut away police barbed wire barricades.
"We had no choice but to fire tear gas at the protesters," Piya said.
During the confrontations, which began around 9 a.m., five policemen were injured and two others seriously wounded.
Police also detained 100 protesters and confiscated weapons including knives, bullets and slingshots, The Nation report said.
The BBC reported that around 10,000 protesters had taken to the streets calling for the resignation of Prime Minister Yingluck Shinawatra, sister of deposed and controversial former Prime Minister Thaksin Shinawatra.
A report in The Bangkok Post newspaper said around 20,000 demonstrators were in the streets but dispersed after calls by protest leaders for people to go home.
Former army Gen. Boonlert Kaewprasit, leader of the protest and head of the new anti-government group Pitak Siam -- Protest Thailand -- said police "broke their promise that would have allowed us to stage a peaceful rally" and police were trying to lure demonstrators into violence."
"I promise that Pitak Siam will succeed in driving this government out," he said. "The world will see this corrupted and cruel government. The world can see the government is a puppet."
Pitak Siam has the support of some royalist groups, called Yellow Shirts, including the People's Alliance for Democracy which helped bring down governments led or backed by Thaksin in 2006 and 2008, the BBC said.
Thaksin, 62, was ousted in a military coup in 2006 and soon after was sentenced o two years in prison for tax fraud. He fled in 2008 rather than serve his sentence, leaving an estimated $2 billion in frozen assets, and lives in Dubai.
In July last year, the ruling Democrat Party was crushed by its main rival the Pheu Thai Party, led by the neophyte politician Yingluck Shinawatra, 45.
Yingluck, who earned a master's degree in political science from Kentucky State University in 1990 and is a successful businesswoman, had little political experience before becoming Thailand's first female prime minister.
Even so, she managed to bolster her party's already large number of seats in Parliament with the coalition announcement, raising the number of government seats to 299 out of 500.
But critics of Yingluck say real government power lies with her brother. In the event of a divisive issue, her government could prove fragile because it's a six-party coalition.
The Red Shirts, mostly members of the United Front for Democracy Against Dictatorship, backed Thaksin and now support his sister.
Red Shirts are mainly rural workers, students, left-wing activists and some business people who say urban leaders and the military elite are a threat to democracy.