Protest leader Suthep Thaugsuban blamed the government for the attack and said it would not dent the morale of thousands who last week stepped up a two-month agitation, bringing parts of Bangkok to a standstill.
"The explosion was the government's doing," Mr Suthep said at a rally later on the edge of the capital's Lumpini Park. "We are not afraid and we will fight on."
It was not immediately clear if the attack would bring an escalation of the crisis, but it could raise the risk of a move by the army to end the impasse.
"Today's incident will accelerate chances of a significant clash between the protesters and groups they perceive to be their enemies - the police or forces loyal to the government - in order to provoke some sort of military reaction and speed up chances of a military intervention," said Boonyakiat Karavekphan, an analyst at Ramkamhaeng University in Bangkok.