The blast occurred at the rally led by opposition leader and Peoples Democratic Reforms Committee (PDRC) movement chief Suthep Thaugsuban, who escaped unhurt.
"When the incident happened and perpetrators threw the explosive, Suthep was 30 metres away," Akanat Promphan, a spokesman for the movement, said. Security guards whisked Suthep away to an unknown location.
The Erawan Emergency Centre, which monitors Bangkok hospitals, said 36 people were being treated for injuries caused by the blast at Banthat Thong.
The bomb, either an improvised explosive or a giant firecracker, went off as protesters were passing along the street near an intersection, damaging a pick-up truck.
PDRC security officers said the explosive was lobbed from a nearby three-storey building.
Army chief Prayuth Chan-ocha said an armed group might be behind sporadic attacks launched during the anti-government protests in Bangkok. Military police rushed to the scene to inspect the explosion.
The army sent soldiers to help police and the protesters conduct security patrols, and appointed military medical units to be on standby at rally venues.
Around 12,000 protesters were on the streets during the attack. That is a fraction of an estimated 1,70,000 people who gathered on Monday to launch "shutdown" of the capital campaign in their latest bid to force the 46-year-old premier from office.
Protesters, who seek to rein in the political dominance of the Shinawatra clan in the country, allege that the Yingluck regime is controlled by her fugitive brother, former premier Thaksin Shinawatra who was ousted in a coup in 2006.
They want to install an un-elected "people's council" to carry out reforms before the February 2 snap polls.
Yingluck, however, remained defiant and said that the easy way to oust her would be to cast the ballot in the general elections as other unconstitutional ways could not fix the problems.
She said if the country could pass through the elections, the political conflict would be over.
Asked if it is not the time for the Shinawatra family to distance itself from Thai politics and shouldn't she resign now for the good of the country, Yingluck said: "I'm here because my duty as caretaker prime minister until new government is elected. Cannot say I just step down. Using vote in election is the best way."
She urged all conflicting parties to sit together to explore the way out. "The government would do its best to maintain peace and order in the country," she said.
Meanwhile, Opposition Democrat Party today stepped up attacks on Yingluck, asking her to resign and take responsibility for irregularities in the controversial rice-pledging scheme.
"She is losing the legitimacy to push for reforms. Who will listen to her If she is sincere, she should step down. She can use this [NACC resolution] as an excuse [to resign] with her brother Thaksin," party spokesman Chavanond Intarakomalyasut said.
The National Anti-Corruption Commission (NACC) yesterday decided to press charges against 15 people involved in alleged fake rice deals claimed to have been signed by the government.
The controversial scheme is thought to be costing Thailand around USD 10 billion a year - and the government has been unable to pay farmers for their most recent harvest, because a bond issue last year failed to raise sufficient funds.
On Tuesday, two persons were injured in a bomb and gun attack near a rally site. The anti-government protesters have been blocking major road junctions in Bangkok and are camped out in some areas.