Media reported an unidentified attacker launched a grenade at anti-government protesters outside Government House around midnight.
"It was an explosion that slightly hurt two protesters, but we can't confirm whether it was a grenade," a district police officer said.
The prime minister's offices have been vacant for weeks amid political crisis in the country.
Earlier this week the country's Constitutional Court ousted former prime minister Yingluck Shinawatra and nine ministers for the improper transfer of a top security official.
Her sacking comes after six months of anti-government protests that have unnerved investors, frightened away tourists and dented growth in south-east Asia's second-biggest economy.
Ms Yingluck's supporters have derided her removal as a "judicial coup".
The caretaker government loyal to Ms Yingluck is clinging to power, and to the hope of an election in July to restore its authority.
But the government's enemies reject its legitimacy and are calling on the upper house of parliament, the courts and the Election Commission to appoint a new prime minister.
Pro-government 'Red Shirts' have gathered on the outskirts of Bangkok saying they are determined to safeguard democracy, as rival anti-government protesters press their campaign in the city.
"We will continue to protest until this country returns to the democratic process," Red Shirt leader Jatuporn Prompan said.
Officials said about 3,000 police officers were on stand-by for the pro-government rally on the western outskirts of Bangkok on Saturday.
"We are ready to fight," senior Red Shirt Kwanchai Pripana said.
"We will not use violence but we will use the power of the masses to fight for democracy."
The Red Shirts have said they will keep up their protests for as long as necessary to defend the wounded administration.
A day after Ms Yingluck was thrown out of office she was indicted by an anti-corruption agency for negligence over a rice subsidy scheme aimed at helping farmers that ran up huge losses.
The upper house Senate is expected to impeach her, which would result in a five-year ban from politics.
But Ms Yingluck's Puea Thai party still runs a caretaker government and is hoping to organise a July 20 election.
Caretaker government 'unlawful'
Rival opposition demonstrators are gearing up to try to deliver a knock-out blow to the remnants of the government to enable an unelected leadership to take the reins of the country.
"The caretaker government is unlawful, which means at this stage, Thailand has no real government to run the country," protest leader Suthep Thaugsuban said.
They want the government out, the election postponed, and reforms to end the influence of Ms Yingluck's older brother, former premier Thaksin Shinawatra.
Such a move would infuriate supporters of Ms Yingluck and Mr Thaksin, who was deposed by royalist generals in a coup in 2006, an event that ushered in years of political turmoil.
Political violence has left at least 25 people dead and hundreds wounded in gun and grenade attacks by shadowy assailants in recent months, mostly targeting opposition demonstrators.
The fear is that armed elements on both sides of the political divide could seek to incite further unrest.
On Friday, police used water cannons and fired tear gas at anti-government protesters attempting to enter a state security agency.
The opposition activists also surrounded a number of television stations in a move decried by rights campaigners as media intimidation.
The anti-government protesters want the upper house of parliament - almost half of whose members are unelected - to remove the weakened cabinet, including new prime minister and Thaksin loyalist Niwattumrong Boonsongpaisan.
But critics say their call for the Senate to appoint a new prime minister has no legal basis.
"It is clear that Suthep thinks there is no government ... that he is looking to the Senate to install a neutral prime minister. This is illegal," Mr Jatuporn said.
"If they install an interim prime minister, we will escalate our fight for sure. We will not stand for it."
Thai courts have removed three prime ministers linked to Ms Yingluck's family, who have won every election completed since 2001.
The last round of polls held in February was voided after disruption by opposition protesters and the results were never announced.
Mr Thaksin is currently living in Dubai to avoid jail for a corruption conviction that he says was politically motivated.
However, he is accused by his opponents of clinging to power through his political allies at home.
The billionaire tycoon-turned-politician is popular in the northern half of Thailand due to his policies aimed at rural voters, but hated by many southerners and members of the Bangkok-based elite and middle classes.
The government wants to press ahead with a planned July 20 election but the new poll date has yet to be endorsed by a royal decree and critics have accused poll officials of siding with the opposition.