Prime Minister Sali Berisha and opposition leader Edi Rama blamed one another for the violence in Tirana, Albanian Economy News reported.
Local media reported prosecutors had ordered six national guardsmen arrested after reviewing footage that showed them deliberately opening fire on demonstrators.
Three protesters were killed while another is in grave condition, the Military Hospital of Tirana announced. More than 30 civilians and 20 police officers were wounded during the 4-hour confrontation with 20,000 protesters demanding early elections.
The diplomatic missions of the European Union, United States and Organization for Security and Cooperation in Europe lamented the deaths in a joint statement, Voice of America reported.
The opposition Socialists accuse the government of corruption and fraud in the 2009 elections. Deputy Prime Minister Ilir Meta quit this week in a scandal.
Berisha told the nation on television a "Tunisia-style uprising" would not be tolerated.
Rama, mayor of Tirana, vowed the demonstrations will resume after a day of mourning. He said Albania cannot wait until scheduled elections in 2013 to oust "an intolerable regime."