United Nations officials said Gbagbo troops fire the shells into the Abobo area, which supports Gbagbo's presidential rival, Alassane Ouattara, the BBC reported.
The international community recognizes Ouattara as the winner of last fall's elections but Gbagbo has refused to cede power. Aid organizations said at least 370,000 people have fled the fighting into Liberia.
One Abobo resident told BBC Afrique the shells came from a nearby barracks.
"We heard artillery fire -- we ran to where the shells had landed, at Abobo roundabout. There's a small market opposite the town hall," the resident said. "We saw four piled-up bodies -- there were nine in total. Then, a second shell hit the market stalls and warehouses, injuring people."
The BBC also reported that pro-Ouattara militia attacked a police station in another district in Abidjan, the nation's capital.
The United Nations said at least 410 people have been killed since the November election.
The African Union has given Gbagbo until Thursday to organize a transfer of power to Ouattara. International sanctions have been imposed on Gbagbo and his allies to try to force him to step aside.