Hundreds of red-shirted opposition supporters also reportedly forced their way into government offices in the northern cities of Chiang Mai and Udon Thani in protest at the crackdown in the Thai capital.
Both the security services and Prime Minister Abhisit Vejjajiva's government had promised to show restraint in dealing with the demonstrators in order to avoid a repeat of last year's riots, when two protesters were killed.
But the BBC's Quentin Sommerville in Bangkok says the deaths of so many more in Saturday's clashes can only mean greater political uncertainty for the country.
Reports from Bangkok on Sunday morning said the city of 15 million appeared to be calm as an unofficial truce took hold.
Many rural dwellers and urban poor support red-shirts, while yellow-shirts comprise mainly middle classes and urban elite
In September 2008 yellows rally against government, reds counter-rally, clashes in Bangkok
Yellows blockade airport in November 2008, government collapses, yellow-friendly government installed
In April 2009 red protests halt Asean summit, two people die in Bangkok clashes, rallies called off
Reds relaunch protests in March 2010, splash blood on government buildings, march on parliament
The protesters, who want the government to call new elections, have been camped out in parts of the city for a month.
Hundreds of soldiers and riot police advanced after nightfall on one of the red-shirt camps, near Phan Fah bridge and Ratchadamnoen road, close to several government buildings and a UN office.
Local media say both sides fired weapons and detonated explosive devices in the clashes which ensued. Television footage showed chaotic scenes, with clouds of tear gas enveloping the streets.
Paul, a British teacher who lives in Thailand, told the BBC he had been in a crowd of protesters across the road from the Khao San intersection when he saw a man of about 50 being shot in the chest as he waved a flag from a pick-up truck.
"The army were firing live rounds on civilians," he said. "I wouldn't have believed it if I hadn't seen it myself."
Shortly before midnight, Prime Minister Vejjajiva went on national television to say troops had halted their operation and express his "regret" to families of victims.
Soldiers, he insisted, would only have fired live rounds "into the air and in self-defence".
"The government and I are still responsible for easing the situation and trying to bring peace and order to the country," he added.
Earlier confrontations left several people with gunshot wounds
An army spokesman, Col Sansern Kaewkamnerd, accused some protesters of using live bullets and grenades.
Red-shirt leader Jatuporn Prompan called on King Bhumibol Adulyadej to intervene after Saturday's violence, saying it was the "way to prevent further deaths".
The red-shirts - a loose coalition of left-wing activists and supporters of exiled former Prime Minister Thaksin Shinawatra - want Mr Abhisit to dissolve parliament and call an election.
They say Mr Abhisit came to power illegitimately in a parliamentary vote after a pro-Thaksin government was forced to step down in 2008. Mr Thaksin was ousted in a military coup in 2006.
They have vowed to defy the state of emergency declared on Wednesday with more rallies. Arrest warrants have been issued for several of the protest leaders.
Washington has urged both sides to show restraint.
"We deplore this outbreak of political violence in Thailand, our long-term friend and ally, and urge good faith negotiations by the parties to resolve outstanding issues through peaceful means," White House spokesman Mike Hammer said.
Editorials in Bangkok newspapers on Sunday also called for urgent talks between the government and the red-shirts to end the violence.
The Nation daily newspaper called the violence "our darkest hour".
"Yesterday's bloodbath is a wake-up call to halt the slide towards anarchy," it said in a front-page commentary.
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