The dead man was identified as Suthin Thararin, a protest leader for the People's Democratic Reform Committee, or PDRC, CNN reported.
He was shot in front of Sri Eiam Temple in Bangkok during clashes with pro-government protesters, said Police Col. Thawatkiat Jindakuansanong.
PDRC spokesman Akanat Promphan blamed the government for Suthin's death, the Bangkok Post reported.
"After the emergency decree was imposed, the situation became more tense and the government still refuses to postpone the general election [scheduled for Feb. 2]," Akanat said. "Prime Minister Yingluck Shinawatra, as the head of the government and the person who declared the state of emergency, must take responsibility for today's incidents, or else the public will revolt and call for justice."
About 2 million Thais were registered to participate in Sunday's advanced voting for those unable to vote in the Feb. 2 elections, CNN said.
Hundreds of thousands of anti-government protesters showed up to block polling centers in Bangkok and southern Thailand.
"This is the day when Thailand and the rest of the world saw the true face of the protest movement," said Sunai Phasuk, a researcher in Thailand with Human Rights Watch. "They are using thuggery to disrupt the voting process."
Protesters in Thailand have been calling for Yingluck to resign and an unelected "people council" be put in place to see through electoral and political changes.
"You cannot battle corruption by stopping democracy," Sunai said.