The increasingly violent demonstrations are concentrated in the northwestern coastal city of Gonaives, where the body of the third victim was found on one of the city's main streets.
The demonstrators are demanding the resignation of President Jean Bertrand Aristide, journalists reported on Wednesday.
Calls for Aristide's resignation have mounted in recent months amid accusations of corruption and misrule.
More than 30 people have been killed, 85 injured, and 80 arrested in clashes linked to political unrest since September.
Several opposition leaders took part in the march through Port-au-Prince on Monday.
Marie Carmel Austin, who resigned as education minister after police put down a student demonstration on 5 December, also joined the protest.
At the same time several thousand people from poor districts of the capital Port-au-Prince staged a rally in front of the presidential palace in support of Aristide.
Meanwhile, a human rights' group has called for an end to the political violence in Haiti.
Human Rights Watch said although the president had called for a peaceful response to the violence, government supporters had committed serious acts of violence with impunity.
"The Haitian authorities cannot allow mob violence to go unchallenged," said Jose Miguel Vivanco, executive director of the Americas division of Human Rights Watch.
Aristide was Haiti's first president
to be elected democratically
"The government must take action against violence committed by its supporters, just as it reacts to violence by its opponents."
Haiti, the western hemisphere's poorest country, has spiraled deeper into chaos and conflict, as it approaches the 200th anniversary of independence from France on 1 January.
A former Roman Catholic priest, Aristide became Haiti's first democratically elected leader, but was deposed in a bloody 1991 coup. He was restored to power by a US-led invasion in 1994.
Aristide was elected to a second term as president in 2000, but has been at odds with opposition parties over the tainted results of parliamentary elections that year.
Monday kicked off a fourth consecutive week of massive anti-Aristide demonstrations in the capital's streets. Most have involved violence between demonstrators and police or defenders of the president.
University students, business owners and others have accused Aristide of corruption and human rights abuses.
The violent breakup of a student demonstration on 5 December by defenders of the president, which left about 20 students and others injured, increased public outrage against him.