Bakiyev shouted "Don't run, don't run!" as the crowd panicked and fled the square.
About 20 bodyguards with Kalashnikov rifles then ushered him into a waiting jeep.
"Bakiyev effectively had to flee what was supposed to be an opportunity to show that he is still very much the popular president and still able to move around freely in the south of the country," Al Jazeera's Robin Forestier-Walker, reporting from Osh, said.
One of Bakiyev's brothers, Kanybek, told The Associated Press news agency that the president was not injured and was driven to his home in the village of Teyit.
There appeared to be no injuries in the crowd.
Bolot Sherniyazov, the interior minister in the self-declared interim government, said: "The crowd in Osh prevented [Bakiyev] from speaking.
"They shouted: 'Down with Bakiyev!' They did not try to attack him. His bodyguards opened fire into the air," Sherniyazov told Reuters news agency.
The interim government has called for Bakiyev to surrender, saying he should face trial for "spilling blood" during the unrest last Wednesday that left at least 80 people dead.
Al Jazeera's Roza Ibragimova, reporting from the capital, Bishkek, said supporters of the interim government 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 fled to his southern power base of Jala'abad during the anti-government protests and has said he will only step down if the interim government guarantees the security of him and his family.
No arrest warrant has been issued for the president, but one is in effect for his brother Zhanybek, the former head of the state guard service.
Bakiyev has denied ordering troops to fire on the protesters in the capital.