Trinamul Congress, the main opposition party in West Bengal, called a strike on Friday to protest over the killings.
"The news of the deaths by police firing in Nandigram filled me with a sense of cold horror," said Gopal Krishna Gandhi, governor of West Bengal and grandson of Indian independence leader Mohandas (Mahatma) Gandhi.
"Was this spilling of human blood not avoidable," he asked.
Hundreds of protesters put up road blockades in Kolkata, causing traffic chaos; the police said they also set fire to a state-owned bus after removing all the passengers.
Previous clashes over the proposed SEZ since January have left at least seven people dead, including one policeman, and more than 100 wounded.
Police officials said farmers and political activists, many armed with rocks, machetes and pickaxes, attacked officers as they tried to enter a farming area earmarked for the industrial zone.
Nandigram is 150km south of Kolkata, the capital of communist-ruled West Bengal in eastern India.
Authorities want to set up a chemical industry complex there with the support of an Indonesian conglomerate, the Salim Group.
It is just one of several hundred SEZs that the government wants to set up across the country in a bid to lure foreign investment and close the gap with China's manufacturing sector.
Protests have been concentrated in Nandigram, led by farmers unwilling to give up their land for cash.
Opposition parties in West Bengal walked out of the state assembly in protest at Wednesday's killings.
In Nandigram, thousands of farmers sang religious songs and many Muslims - the majority religious community in the area - read verses from the Quran to protest at the police shooting.
Abdus Samad, a local Muslim leader, said: "We will fight till the last drop of our blood but not give up an inch of land to the government."
The unrest has proved a serious challenge for Manmohan Singh, the prime minister, under pressure to tone down economic reforms amid signs of voter discontent with the ruling Congress party.
Most of the more than 230 SEZ proposals have already been put on hold following earlier violence in West Bengal this year.