Video obtained by Reuters showed protesters - many in hard hats and clutching makeshift shields - setting up barricades and facing off against riot police.
Protesters were also seen running after shots were fired. There were no reports of injuries in Yangon.
The protests come more than a month after Myanmar's military overthrew Aung San Suu Kyi's elected government. At least 21 protesters have been killed since the turmoil began. The army has said one policeman has been killed.