Four were killed in the southern port city of Aden and one person was killed in Taiz, when a grenade was thrown from a car at demonstrators, the BBC reported.
In the capital Sanaa, protesters calling for the resignation of President Ali Abdullah Saleh clashed with police. Saleh has been in power since 1978 and he has said he won't run for another term.
Nationwide, tens of thousands of people took to the streets Friday in a "Friday of rage."
"Ali, listen, the people want you out," the protesters chanted.
Yemenis are angry about corruption in government and high unemployment. Uprisings in Egypt and Tunisia, whose presidents were forced to step down, inspired demonstrators.
The U.S. Embassy in Sanaa said there has been "a disturbing rise in the number and violence of attacks against Yemeni citizens."
The embassy said the attacks are "contrary to the commitments that President Saleh has made to protect the rights of Yemeni citizens to gather peacefully to express their views."