In al-Eind village, near Labouss, a third protester was killed in similar circumstances.
Violence also occurred in a hospital when police attempted to arrest a demonstrator, causing injuries to two people.
One demonstrator died in clashes with police on Saturday in the village of Ashehir, in the southeastern Hadramut region.
Aden is the former capital of South Yemen, which was united with the north of the country in 1990.
Protesters carried banners with anti-government messages and posters of Ali Nasser Mohammed, the former president of South Yemen.
The death toll since protests started in the south in late April is now 16, including five security personnel.
Socialists, who formerly ruled the south, previously tried to gain secession in 1994, igniting a two-month civil war before the movement was crushed by forces loyal to the government.
Some southerners want independence because of alleged discrimination and neglect.
However, President Ali Abdullah Saleh has give warning that the nation could split up into several entities.