An AFP reporter saw Zoran Zaev, who leads the main opposition Social Democrats, with blood on his face in the chaos, while Macedonian media quoting hospital sources said ten people were injured, including two deputies.
The violence erupted after around 100 protesters supporting the rival VMRO-DPMNE party entered parliament waving Macedonian flags and singing the national anthem.
AFP photos and footage on local TV showed at least one masked man inside the building.
"I condemn the attacks on MPs in Skopje in the strongest terms. Violence has NO place in Parliament. Democracy must run its course," said European Union Commissioner Johannes Hahn on Twitter.
The incident follows months of political deadlock in the Balkan country, where demonstrators have been holding nightly rallies in the capital since an inconclusive December election.
They oppose a proposed coalition between Zaev's Social Democrats (SDSM) and ethnic Albanians, which they perceive as a threat to national unity.
Protestors storm the Parliament after Social Democratic Union of Macedonia (AAP) Source: AAP
According to local media, Thursday's incident broke out after the SDSM and Albanian parties voted in a new parliamentary speaker although the former speaker had closed the day's session.
Their chosen speaker, Talat Xhaferi, is ethnic Albanian.
For a decade until last year, Macedonia was ruled by the conservative VMRO-DPMNE and its leader Nikola Gruevski.
December's election saw the party secure 51 seats in the 120-seat parliament -- or two more than the SDSM, but the conservatives failed to reach a deal with kingmaking Albanian parties.
Although Zaev then reached an agreement with the Albanian groups, President Gjorge Ivanov refused to give him a mandate to form a government.
An ally of Gruevski, the president expressed concern over the controversial demand of Albanian parties that Albanian be made an official language across Macedonia.
Critics of the demand fear it could lead to the break-up of the small country of around two million people, about a quarter of whom are ethnic Albanians.
The EU and the United States have urged Ivanov to reverse his decision, while Macedonia's opposition has warned its conservative rivals that they are playing with fire by using the ethnic card in a bid to stay in power.
The vote was supposed to end two years of political upheaval in Macedonia, sparked by a huge wiretapping scandal, but it has only served to deepen the crisis.
The former Yugoslav republic aspires to join both NATO and the EU.
Gruevski called for people to "calm down" after Thursday's trouble.
"People should not respond to provocations of the SDSM and those who want to push the state into even deeper crisis," he said on Facebook.
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