The murders were followed by a crackdown in which more than 200 people were arrested in Aden, and blockades were also put up around the city to prevent others from attending the demonstration, according to security services.
Secessionists had been planning to rally in Aden to mark the anniversary of the British pullout that heralded the independence of the former South Yemen on November 30, 1967.
In the run-up to the anniversary several clashes erupted between the Sanaa government and southerners, who have long complained that northerners abused a 1990 unity agreement to exploit their resources and discriminate against them.
At least five people, including two soldiers, were killed in clashes at a similar demonstration on Wednesday.
Police officials said they arrested at least 170 people who intended to join in Monday's commemoration.
Violence erupted this year after an April 28 opposition rally to mark the 1994 civil war in which President Ali Abdullah Saleh's forces defeated the secessionist south, known before the unity deal as the People's Democratic Republic of Yemen.