One report said the protestors were throwing stones at the soldiers who then started shooting.
Four of the people killed were soldiers from El Salvador working as part of the coalition forces in Iraq.
The marchers are supporters of a cleric called Moqtada Sadr, and some of them are thought to be members of a banned army.
Most of the attacks in Iraq have come from Sunni groups.
Some people think these new attacks by Shia Muslims mean there could be a big civil war in Iraq.