In the Shia suburb Mahouz, more than 2,000 people attended the funeral of Fadel Salman Matrouk, who was shot on Tuesday when police dispersed a demonstration at the funeral of Ali Msheymah, another protester who died of his injuries after being shot by police on Monday.
The largest Shia opposition bloc said it would not end a boycott of parliament until measures are taken to establish a real constitutional monarchy.
"The government should be elected by the people who would have the right to hold it accountable," said Sheikh Ali Salman, the head of the Islamic National Accord Association.
INAA and other groups were calling for a demonstration on Saturday in support of the protesters in the capital's Pearl Square.
The 18 MPs of the INAA walked out of Bahrain's 40-member parliament on Tuesday in protest at the killing of two demonstrators in clashes with security forces.
Thousands more protesters are expected after Matrouk’s funeral.