The victim was one of a group of security guards keeping an eye on a stage during the overnight shift at the Chamai Maruchet Bridge in the Thai capital.
A car drove up to the stage and sprayed the guards with automatic-weapons fire, killing one and wounding three, a spokesman for the opposition group Network of Students and People for Reform of Thailand (NSPRT) told the Bangkok Post.
An NSPRT official said the incident was likely aimed at discrediting the group's claims it was remaining peaceful, and added that security at the bridge would be tightened.
The shooting occurred as Thailand's political crisis continued unabated. The BBC said the situation was aggravated this week when a bill that would have provided amnesty for former premier Thaksin Shinawatra failed in the legislature.
Shinawatra, who enjoys the support of Thailand's poor and rural citizens, was convicted of corruption after being overthrown in a military coup in 2006. His sister, Yingluck Shinawatra, is the current premier and has been accused by critics of being a mouthpiece for her exiled brother.