A Reuters cameraman saw a corpse in the street, with bullet wounds in his back and side.
"We are receiving more gunshot victims," a doctor at a Kisumu hospital told the newsagency.
In Nairobi, the capital, a few hundred people staged protests.
Police chased demonstrators through the central business district, firing teargas and live rounds.
Three youths were shot in the back of the leg as they tried to run from officers in the city's sprawling Kibera slum, one of Africa's biggest, a hospital administrator said.
Oscar Junior, one of the youths shot, said from his hospital bed: "It was so crowded, a very narrow place. I was trying to escape and I got a bullet in my leg."
Opposition leaders tried to lead some demonstrators to Nairobi's central Uhuru (Freedom) Park, but faced with teargas, pulled back.
"We are determined to continue with the fight," William Ruto, one of Odinga's allies, told reporters. "We will not allow Kibaki to make this country a dictatorship."
Buoyed by his party clinching the post of parliamentary speaker on Tuesday, Raila Odinga, the opposition leader, has ignored pleas to call off the protests, raising fears of another wave of violence that has already killed hundreds.
Previous protests, sparked by last month's election, quickly descended into violence, mainly in ethnically tense western Kenya and Nairobi's slums, claiming at least 700 lives and displacing some 260,000 people.
Attempts to defuse the political tension and broker talks between Odinga and Mwai Kibaki, the Kenyan president, failed to make much progress last week, prompting the opposition to call for the three-day protest.
Kofi Annan, the former UN secretary-general, was expected to help mediate in the political crisis, but the former head of the UN delayed his trip as he was recovering from a bout of flu, a UN official said on Wednesday.
"He is on the mend and recovering well," said the official, who declined to be identified.
On Tuesday, Kenneth Marende, an opposition candidate, won the influential speaker post, dealing the government its first defeat, following hours of raucous debate.
The ODM has 99 seats in the newly elected parliament, making it the largest single party but short of an overall majority.
Kibaki's Party of National Unity (PNU) won 43 seats and an ally secured 16.