Brandishing flags of the former south and of Saudi Arabia, crowds took to the streets in the major towns of the provinces of Dhaleh, Lahij, Abyan and Hadramawt.
Businesses in these areas remained closed for fear of clashes with security forces, witnesses and local officials said.
In Abyan, three civilians suffered bullet wounds when police moved to stop demonstrators cutting the highway between the provincial capital of Zinjibar and the south's main city, Aden, witnesses said.
Tareq al-Fadhli, a prominent southern secessionist, called on demonstrators in the centre of Zinjibar "to continue your struggle until the south is freed from Yemeni occupation".
Fadhli, a former Islamist who rallied to the southern cause, promised "victory soon" over the Sanaa government of Ali Abdullah Saleh, the Yemeni president.
Protesters also demonstrated in the town of Lauder further northeast, while in Dhaleh, thousands gathered in defiance of a curfew which had been imposed overnight.
In Lahej, thousands demonstrated in the towns of Hutah and Al-Habilain, and rallies were held in Mukallah, the main city of Hadramawt.
Pro-independence demonstrations have increased in the south in recent months amid a worsening economic situation and complaints of discrimination in favour of northerners by the Sanaa government.
Western governments have been pushing for a sharp increase in aid to Yemen to help Sanaa tackle multiple sources of dissent.