Kyrgyzstan's health ministry said two people, one of them a local journalist, had been admitted to hospital with serious head injuries after the clashes.
The government's press service estimated that up to 40 people had received injuries of some sort.
"We seized four agent provocateurs. An interrogation will now be arranged to determine where they're from and who they are," Melis Eshimkanov, an opposition parliamentary deputy, told the crowd.
The march had been staged to protest against pro-government coverage by the state media.
The ex-Soviet republic in Central Asia has been plagued by political tension since President Askar Akayev was forced out of office in March 2005.
The latest protests began on Wednesday, when about 6,000 opposition supporters gathered in the capital's main square, setting up tents and yurts - traditional nomadic dwellings made of wood and fabric.
They have vowed to remain there until Kurmanbek Bakiyev, the current president, resigns.