"The bomb went off shortly after 1 pm (0600 GMT)," deputy national police spokesman Anucha Romyanan said.
Police were investigating what type of explosive device caused the blast.
Television footage showed several people lying on the ground as ambulances rushed away the wounded. Protesters were seen searching nearby buildings for the attackers.
Prime Minister Yingluck Shinawatra has faced more than two months of street demonstrations aimed at forcing her elected government from office and installing an appointed body to oversee loosely defined reforms such as an end to alleged vote buying.
Eight people have been killed and hundreds injured in street violence since the protests began.
There have been a series of drive-by shootings at rally sites that the demonstrators have blamed on the authorities.
"Yingluck must take responsibility," one of the protest leaders, Satit Wonghnongtaey, said on stage soon after the blast.
The protesters aim to curb the political dominance of Yingluck's billionaire brother, fugitive former premier Thaksin Shinawatra, whom they accuse of controlling the government from self-exile.