Witnesses said the shots were fired into the air by Bakiyev's bodyguards, possibly because of concern about a group of Bakiyev opponents who were approaching from a separate rally about 300 metres away.
A Reuters reporter at the scene said more than 2,000 anti-Bakiyev demonstrators had whistled and waved banners reading "We do not want blood" as they waited for the ousted president and his supporters to arrive in Osh.
Bakiyev fled the capital, Bishkek, last Wednesday amid violent protests in which more than 80 people were killed.
An interim government, which says it is now in charge of the country until elections can be held in six months time, has threatened to have Bakiyev arrested saying he should be put on trial for "spilling blood" during last week's protests.
No arrest warrant has been issued for Bakiyev, but one is in effect for his brother Zhanybek, former head of the state guard service, who was travelling with Bakiyev to Osh.
Al Jazeera's Roza Ibragimova, reporting from Bishkek, said opposition supporters were blaming Bakiyev for giving the order to shoot at demonstrators.
'Here in Bishkek we've seen groups of people coming to government buildings, standing outside, trying to speak to members of the interim government.
"They're all quite angry and emotional. They're saying 'if you don't bring him back to Bishkek, we will go down there [to the south] to make sure he pays for everything he's done'."
Bakiyev has denied ordering troops to fire on protesters.
He has continued to address supporters in his southern power base of Jalal'abad and will only step down from the presidency if the security of him and his family is guaranteed.
The self-declared interim government has given have offered him such guarantees but have refused them for family members.