It was not immediately clear whether the police were using live ammunition or rubber bullets.
The security officials say two others demonstrators were also wounded in the eastern town of Mukalla, but no details were immediately available.
The protest in Mukalla was one of several anti-government demonstrations across Yemen Thursday. Tens of thousands joined in the protests, chanting "down, down with the regime."
The marches were among the largest yet against President Ali Abdullah Saleh, a key U.S. ally in the fight against al-Qaida. Earlier this week, the president promised not to extend his term beyond 2013 in an attempt to defuse calls for his ouster.
THIS IS A BREAKING NEWS UPDATE. Check back soon for further information. AP's earlier story is below.
SANAA, Yemen (AP) - Tens of thousands of opponents and supporters of Yemen's president staged dueling demonstrations on Thursday, underscoring deep divisions in a nation seen by the Obama administration as a key ally in its fight against Islamic militants.
Scuffles and stone-throwing erupted briefly between the two sides, but police intervened to keep the sides apart and there were no reported casualties. The relative calm contrasted with Egypt on Wednesday, where supporters of President Hosni Mubarak and anti-government protesters battled in Cairo's central square.
Egypt's turmoil and the revolt in Tunisia inspired Yemen's opposition, who turned out in unprecedented numbers in the capital, Sanaa, and other cities Thursday to demand the ouster of longtime autocrat Ali Abdullah Saleh.
"Thirty years of promises and thirty years of lies," one protest banner read. Protesters chanted: "Down, down with the regime."
Estimates of the number of anti-government protesters ranged in the several tens of thousands. However, pro-government demonstrations, though smaller, reflected a calculated effort to undercut the opposition, possibly a lesson learned from the huge street rallies that have rocked the Egyptian government since Jan. 25.
Some in the pro-government group were state employees.
Saleh had sought to defuse demands for his ouster by pledging Wednesday not to seek another term in office - his term expires in 2013 - and saying he would not let his son inherit power. However, proposed amendments to the constitution could let Saleh stay in office for two additional terms of 10 years.
Anti-government protesters, several thousand of whom marched from Sanaa University, said they don't trust Saleh and demanded that he quit immediately.
The United States has taken a sharp tone on Egypt, urging Mubarak to move swiftly to meet the demand for democratic reform. But it cautiously praised reform pledges in Yemen. State Department spokesman P.J. Crowley welcomed Saleh's "positive statements."
Saleh is seen as a weak but increasingly important partner of the United States, allowing American drone strikes on al-Qaida targets and stepping up counterterrorism cooperation.
His weak government - which controls little of the impoverished country beyond the capital - is also facing a serious challenge from a secessionist movement in the south and a rebellion in the north.
The U.S.-born radical cleric Anwar al-Awlaki, thought to be hiding in Yemen, is believed to have inspired and even plotted or helped coordinate recent attacks on the U.S. Those include the failed Christmas Day 2009 bombing of a Detroit-bound airliner and the unsuccessful plot to send mail bombs on planes from Yemen to the U.S. in October.
Al-Awlaki also is believed to have inspired the deadly 2009 shooting rampage at Fort Hood, Texas, and had ties to some of the 9/11 hijackers.
In Sanaa, pro-government demonstrators marched to Tahrir Square, which shares the same name as the plaza in Cairo where the street fighting occurred Wednesday and into Thursday. The demonstrators carried banners supporting Saleh and warning that the opposition was trying to destabilize Yemen.
There was a heavy security presence around the Interior Ministry and the Central Bank. Military helicopters hovering in some areas.
In the city of Aden, thousands of anti-government protesters defied security forces and armored personnel carriers that tried to close the main streets to prevent them from gathering.
Protesters there shouted: "People want the downfall of the regime, the downfall of the president."
All big shops in Sanaa and Aden closed their doors and major companies hired guards to protect against possible looting.
Protesters also scuffled with security forces in the town of Jaar in the southern province of Abyan, where al-Qaida militants have been active.