The violence broke out as police tried to prevent opposition supporters from joining the demonstration.
The gathering was called for by the opposition "Common Forum" which groups Al-Islah Party, the leading Islamist opposition party and the Yemeni Socialist Party, as well as other smaller opposition factions.
The opposition parties are demanding amendments to the electoral law, including banning government officials from using their influence to affect the vote.
Parliamentary elections are due to be held on April 27.
Yemen's opposition has been holding demonstrations across Yemen after negotiations with the ruling General People's Congress (GPC), the party of President Ali Abdullah Saleh, failed to reach a compromise.
On Monday, parliament postponed local elections for another four years though they were due to be held the same time as the parliamentary polls.
The government said that the term of the current councils, which were elected in September 2006, would be too short and that holding the local ballots would be expensive.
Parliamentarians from the opposition parties, who hold 63 of 301 seats in parliament, stormed out of Monday's session in protest at the decision and called on voters to boycott the elections.
Meanwhile, a blast on Thursday killed two anti-government in the southern Yemeni province of Abyan.
A security source said explosives they were carrying on a motorcycle detonated accidentally, killing the two.
The two men were planning to attack an unknown target in Abyan, the source said without giving further details.
Earlier this month four Yemeni soldiers and one civilian were killed in clashes between suspected fighters and government forces in Abyan.