The protestors, led by opposition leader Suthep, were demanding that no elections be held until major political reforms have been implemented. The protestors have been blocking major road junctions in Bangkok since Monday.
It was earlier reported that eight people were hurt in the explosion. The Erawan Emergency Centre later said 20 people were being treated for injuries caused by the bomb blast, reported the Bangkok Post.
The bomb, either an improvised explosive or a giant firecracker, went off as the People's Democratic Reform Committee protestors were passing along the street near Charoen Phol intersection, a reporter following Suthep in the procession said.
Reports suggest that 20 people were injured in the bomb explosion
The explosion occurred in the afternoon about 200 metres from where Suthep was marching, the reporter said. Security guards whisked Suthep away to an unknown location.
Suthep, a former deputy prime minister and Democrat Party's member of parliament, resigned in November to spearhead the protests. The protestors also want Prime Minister Yingluck Shinawatra to stepdown in place of an unelected "people's council".
Yingluck has called elections Feb 2, but the opposition are boycotting the polls.
Since November, protestors have been taking to the streets and occupying government offices, calling for an end to Yingluck's government.