The violence took place after a rally of up to 7,000 people called by top opposition leader Alexander Milinkevich.
Some demonstrators attempted to march on a prison where hundreds of opposition supporters have been jailed since Lukashenko's March 19 landslide re-election.
Witnesses say they were beaten back and kicked by truncheon-weilding police.
Alexander Kozulin, one of the two opposition candidates defeated in the presidential election, was arrested near the site of the violence.
Lukashenko has told Russian television that the opposition was ineffective and inexperienced.
"They weren't ready to take power and didn't believe they could," he told NTV.
The US and European leaders have threatened punitive action in the wake of the widely condemned-elections.