Some sought shelter in adjoining streets while others returned to throw stones at police.
After about an hour police had completely cleared the square but local reporters said some protesters were still trying to attack police near the defence ministry.
Felix Kulov, the opposition leader and former prime minister, has accused Kurmanbek Bakiyev of failing to fight corruption, allowing crime to spiral and sabotaging democratic reform in the country.
He has been the driving force behind a wave of protests which started on April 11 and had previously been peaceful.
Brink of turmoil
Kyrgyzstan, a former Soviet republic, has teetered on the brink of turmoil since Bakiyev came to power in 2005 after protests toppled his long-serving predecessor, Askar Akayev.
Protesters had set up dozens of tents in the square outside the government's headquarters, saying they would stay until Bakiyev agreed to hold early presidential elections.
The RIA news agency quoted Isa Abdrakhmanov, an opposition leader, as saying that the violence on Thursday involved radicals and had nothing to do with the opposition.
He said: "We don't carry any responsibility for what is happening in front of the government building."