Five major shopping malls were shut as a precaution.
Streets near the stadium, the scene of intense street battles overnight, were littered with broken glass and rocks, a Reuters witness said. A red-shirt leader, Jatuporn Promphan, said four red shirts had been killed but Reuters only confirmed one, 43-year-old red-shirt guard Viroj Kemnak.
Forty-five people were wounded in the fighting, according to the government's Erawan emergency centre.
Thousands of red shirts began to return by bus to their homes in northern Thailand after their rally was called off in a bid to calm the tension but that is unlikely to end Thailand's worst political crisis since April-May 2010, a period of unrest that ended with a military crackdown.
In all, 91 people were killed then, mostly Thaksin supporters.
Yingluck, who won a 2011 election by a landslide to become Thailand's first female prime minister, has called on the protesters to clear the streets and enter into talks, saying Thailand's economy was at risk after demonstrators occupied the Finance Ministry on Monday.
Protest leader Suthep Thaugsuban has ignored her and told demonstrators that laws must be broken to achieve their goals.
Seventeen battalions of 150 soldiers each, along with 180 military police, all unarmed, were called in to boost security on Sunday ahead of a deadline the same day set by demonstrators for ousting the government.
Fighting had intensified on Saturday after anti-government protesters attacked a bus they believed was full of government supporters. They also smashed the windshield of a taxi carrying people wearing red shirts, a pro-government symbol, and beat two people, one unconscious, police and witnesses said.
As darkness fell, gunfire erupted outside the sports stadium in Bangkok's Ramkamhaeng area, where the backers of Yingluck and Thaksin had gathered for a show of support after a week of anti-government protests.
Around 8 p.m., a gunman fired into Ramkamhaeng University, where hundreds of anti-government protesters had retreated after trying to block people from entering the stadium, witnesses said. One person was killed. It was not known who fired the shots.
Fighting raged in the area through the night.
(Read more: In "Teflon Thailand," protests test a weak economy)
At around 2 a.m., Kittisak Srisunthorn, 36, said he was shot in the arm while sitting with a group of red shirt guards.
"I heard homemade bombs, gunshots. People started to throw rocks and glass bottles. There were around one hundred people gathered. I didn't see any police," Kittisak told Reuters.
Thaksin, a former telecommunications tycoon, was removed in a 2006 military coup and convicted two years later of graft, charges he calls politically motivated. He remains closely entwined with the government from his self-imposed exile, sometimes meeting with Yingluck's cabinet by webcam.