Witnesses said that police had opened fire with live bullets against demonstrators, who were coming from the funeral of a protester killed earlier this week.
The marchers were reportedly shot near Manama's Salmanniya hospital. They had been trying to reach Pearl Square, the epicentre of the protests, when police opened fire.
The country's most senior Shia cleric Sheikh Issa Qassem earlier described attacks on protesters on Thursday as a "massacre".
Western countries have urged Bahrain, which is ruled by a royal family and a Sunni Muslim elite, but has a Shia majority, to show restraint in dealing with protesters.