Ali Salem al-Baid, a politician who led the south to unity with the north in 1990, had called on Friday for "two days of southern anger".
General Ghazi Ali Mohsen, head of security in Daleh, said 21 "rioters" were arrested in the city.
"The subversive elements were carrying weapons and flags and calling" for the secession of the south from the north, he said.
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In his speech calling for the two days of protests, Baid said: "I call on you ... to send a message to our Arab brothers and to the representatives of the international community gathered in Riyadh underlining your rejection of the occupation and your commitment to self-determination.
"Our only weapon is our determination to recover our rights, whatever the cost ... we will succeed in regaining our independence."
In response, crowds brandishing flags of the former south and of Saudi Arabia have been taking to the streets in the major towns of Daleh, Lahij, Abyan and Hadramaut.
Businesses in these areas remain closed for fear of clashes with security forces, witnesses and local officials say.
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.
In Lahij, thousands demonstrated in the towns of Hutah and al-Habilain, and rallies were held in Mukallah, the main city of Hadramaut.
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.