"Four people have been killed by live rounds," said a medic at a field hospital set up protesters in the capital's Change Square, where they have been camped out since February.
Twenty-seven others were wounded, the medic added.
News that makes sense
Your trusted source for staying up-to-date with the world around you. Get free daily news updates and analysis, straight to your inbox.
An AFP correspondent said the protesters were met by gunfire from armed civilians whom they deride as Saleh's "thugs", as they marched towards the city centre.
Activists who have spearheaded 10 months of protests against Saleh's rule had called for a mass rally to protest against the promises of immunity granted under the agreement with the parliamentary opposition which the veteran president signed in Riyadh on Wednesday.
The protesters also chanted slogans against the Common Forum parliamentary opposition bloc led by the Islamist Al-Islah (reform) party.
"Common Forum, Islah, leave after the assailant," they shouted, referring to Saleh, who is expected to go straight from the Saudi capital to New York for medical treatment.
