A doctor at al-Razi government hospital in Zinjibar said ambulances rushed to the scene and brought back 10 dead civilians and at least 12 injured police.
Another doctor at Aden's May 28th hospital said he received eight critically injured civilians, two of whom later died.
Ali Dehmes, an opposition member in the south, said that government forces "fired live bullets" and "have committed a massacre against unarmed civilians".
But Ahmed al-Maysari, the governor of Abyan province, denied that security forces had fired on the protesters and said that only eight civilians were killed when the demonstrators started shooting.
The Yemeni government issued a statement expressing regret about "the killing, sabotaging, and hostilities perpetrated by outlawed" individuals in Abyan.
Witnesses said armed men from two cities to the north and east of Zinjibar clashed with security forces who prevented them from participating in Thursday's protest by cutting off roads heading to the provincial capital.
Some people participating the demonstration in Zinjibar called for a revolution in the south, while others complained about deteriorating services, including scarce water and frequent power outages.
One witness said that plainclothes security agents used batons to beat up protesters and drag them across the ground into waiting police trucks.
At least seven Yemeni soldiers were killed and several wounded in attacks launched by Shia rebels in northern Yemen over the past two days, a military source said on Friday.
"Clashes broke out after Huthi rebels attacked army bases in the Saada province, during which seven soldiers were killed, while a number of others were wounded or captured," the source told the AFP news agency on Friday.
Thousands of people have died since 2004 in clashes between government forces and rebels led by Abdel Malek al-Huthi.
They reject the current government and want the Zaidi clerical regime overthrown in a military coup in 1962 restored.