King Hamad Al-Khalifa addressed the nation earlier expressing sorrow for the deaths and announcing a ministerial investigation.
Demonstrators want a "contractual constitution and a peaceful transfer of power," said MP Mohammed Mezaal, of the Shiite opposition Islamic National Accord Association, whose 18 MPs walked out of the 40-member parliament earlier on Tuesday.
Fadel Salman Matrouk was shot dead in front of a hospital on Tuesday at the funeral of Ali Msheymah who died after police dispersed a protest in a village east of Manama on Monday.
"I urge the authorities to immediately cease the use of disproportionate force against peaceful protesters and to release all peaceful demonstrators who have been arrested," said UN High Commissioner for Human Rights Navi Pillay “Too many peaceful protestors have recently been killed across the Middle East and North Africa.”
Washington uses Bahrain as home base for its Fifth Fleet. US President Barack Obama warned Arab leaders not to use force to crush protests in a press conference on Tuesday.
"You can't maintain power through coercion,” said Obama. “You have a young, vibrant generation within the Middle East that is looking for greater opportunity. If you are governing these countries, you've got to get out ahead of change, you can't be behind the curve."
He did not mention states by name, but there was unrest on Tuesday in Algeria, Iran, Bahrain and Yemen.
Formula One boss Bernie Ecclestone has voiced concern about next month's Bahrain Grand Prix which opens the new Formula One season.