The battle took place in the Laski area between protesters who were blocking the polling station and government supporters who were trying to get the ballot papers.
Six people were wounded in the violence, including one who is in critical condition with a bullet wound to the neck.
Afterwards, government officials announced that no voting would take place in the Laski area, due to the shooting and the blockade of the poll station.
Protesters are expected to have success blocking other polling stations throughout Bangkok and the south of Thailand.
In the north and east, where support for the government is strong, there is not expected to be much hampering of the voting, when the election takes place on Sunday.
The protests began in November, with demands that Prime Minister Yingluck Shinawatra resign, with many demanding she and her family leave the country.
Her party is expected to win the election, and gain more in it.
Opposition hopes had been to delay the election til later in the year, when they felt they could gather more support, however they have been unable to accomplish that.
