The city's emergency services said one man was hit in the ankle and a woman in the arm.
The shootings happened on a street near one of Bangkok's glitziest shopping districts. The area has been occupied since Monday by protesters trying to bring down Premier Yingluck Shinawatra's government.
Sompong Pongsattha, 56, who saw the shooting in the Pathumwan district, said about 30 shots were fired from an unknown location towards a protest barricade over the course of about two hours. He said only a few demonstrators were there at the time and the wounded woman was carried to another junction to be taken to hospital.
Most of the city has been unaffected by the protests, but the attack was the latest in a string of violent incidents this month that have kept Bangkok's 12 million people on edge and fuelled fears the nation's deadlock could spiral out of control.