Meanwhile, Zelaya's wife attended another pro-Zelaya protest in the industrial city of San Pedro Sula, near the country's Caribbean coast, which was also broken up by police firing tear gas.
Protests by pro-Zelaya activists on Tuesday also left broken windows at shops and fast-food restaurants.
The recent unrest has been some of the few times the near daily rallies against the coup have turned violent.
Roberto Micheletti, Honduras's de facto leader following Zelaya's overthrow, claimed in a televised speech that the clashes were being spurred by "foreign agitators".
He also promised to respect the rights of those detained at the protests.
"We have to stop with firmness any criminal acts to avoid property damage to small and medium-sized businesses, which is putting many Hondurans out of work," Micheletti said.
Zelaya was overthrown on June 28, after opponents accused him of trying to change the constitution to allow presidential re-election.
The coup has thrust Honduras into the worst political crisis Central America has seen in years.
Talks to resolve the standoff, backed by the US and mediated by Oscar Arias, Costa Rica's president, have so far made little progress as Micheletti has refused to let Zelaya return to power.
Zelaya himself spent Wednesday in Brazil, meeting Luiz Inacio Lula da Silva, the Brazilian president, as part of a near two-month bout of shuttle diplomacy aimed at garnering support for his return to power.
There has been widespread international condemnation of the coup and Honduras has found itself increasingly isolated as a result.