The worst violence took place in Bishkek, where more than 5,000 protesters seeking the resignation of Kurmanbek Bakiyev, the president, gathered near his office.
According to AFP, opposition protesters stormed the Kyrgyz television centre, forcing all the channels off the air.
Al Jazeera's Robin Forestier-Walker, reporting from Kyrgyzstan, said: "In response, armed government forces fired on the crowd of protesters and this is where these deaths occurred.
|Clashes between police and protesters spread to several cities in the north [Reuters]
"The situation is very tense; all the thousands of protesters are demanding the release of political prisoners."
Wednesday's unrest came a day after thousands of people in the northwest town of Talas stormed regional government offices.
The protesters broke into a government building where they briefly took hostage Bolotbek Beishenbekov, the local administrator.
Hundreds of demonstrators then gathered around a local police station and threw Molotov cocktails at portraits of Bakiyev.
Opposition leaders had called for nationwide protests on Wednesday.
Omurbek Tekebayev, the leader of opposition party Ata-Meken, said the protest in Talas was part of a wave of rallies planned by the opposition to put pressure on Bakiyev to meet their demands.
Tekebayev demanded that Bakiyev urgently tackle corruption and fire his relatives from senior government positions.
The unrest comes amid rising tensions between the opposition and Bakiyev's government, which they accuse of cracking down on independent media and fostering corruption.
Bruce Pannier, a journalist and Kyrgyzstan expert with Radio Free Europe Radio Liberty in Prague, said the president promised to reform the country when he came into office five years ago.
"[But] his fight against corruption hasn't really gone very far in the government," he told Al Jazeera.
"As far as him combating nepotism, the people in Kyrgyzstan know that he appointed several of his brothers to state positions and that his son is actually running the Kyrgyz economy.
"As far as an independent media, Kyrgyzstan always had a fairly vibrant independent media ... but since the start of 2009, the situation has taken a definite turn for the worst."
Earlier this month, a Kyrgyz court shut an opposition newspaper and banned two newspapers close to the opposition, fining them $111,000 for allegedly insulting Bakiyev.
Bakiyev - who came to power five years ago after street protests led to the country's so-called Tulip Revolution which ousted his predecessor - has grown increasingly unpopular on account of the country's dire economic situation.
Kyrgyzstan, an impoverished ex-Soviet country in Central Asia, has long been considered one of the region's most politically unstable countries.