The protesters, seeking political reforms and better human rights in the kingdom. Protesters were refusing to disperse from the the square in Manama, after two days of violent clashes and an assurance by the Monarch "to investigate the killings", local media reports said.
King Sheikh Hamad bin Isa Al-Khalifa made a rare TV appearance yesterday in which he expressed his condolences for "the deaths of two of our dear sons" and said that a panel would probe into the deaths of the demonstrators.
"We will ask legislators to look into this issue and suggest needed laws to resolve it," the King said, adding that peaceful protests were legal.
The US said it was "very concerned" by the violence in protests in Bahrain and urged all sides to exercise restraint.
"The United States is very concerned by recent violence surrounding protests in Bahrain. We also call on all parties to exercise restraint and refrain from violence," PJ Crowley, the US State Department spokesman, said.
Bahrain, a small island kingdom in the Gulf, has little oil resource of its own. However, it is home to a thriving regional banking and financial-services sector, and hosts the US Fifth Fleet, the naval command in charge of Persian Gulf.
Thousands of protesters have taken to the streets of the tiny kingdom since Monday, inspired by the uprisings in Tunisia and Egypt. One person was killed yesterday when police fired at a group of protesters holding a funeral procession for a man killed during protests a day earlier.