The violence broke out when thousands of demonstrators took to the streets in the port city after Friday prayers.
They marched on Aden’s central district of Khor Maksar which houses government and diplomatic centers.
“The south is a state and an identity,” the protesters chanted.
Police responded by firing live rounds and tear gas at the protesters as they approached the district’s central Arood Square.
They opened fire on a similar protest march late on Thursday, killing one demonstrator and wounding a dozen others.
The rally was called by secessionist leaders on the second anniversary of the ouster of the country’s longtime dictator, Ali Abdullah Saleh.
Authorities have announced a ban on all gatherings in the area, citing “extraordinary security conditions and the need to pre-empt terrorist acts.”
Aden’s top security committee said only peaceful demonstrations with prior authorization could be held, but the protest organizers vowed to push ahead with their plans for a new march in Arood Square.
Yemeni demonstrators have been staging rallies to press for the restoration of the independence that the south enjoyed until union with the north in 1990.
The Southern Movement gained strength during mass demonstrations which forced Saleh to step down two years ago.
The secessionist movement calls for autonomy or the complete independence of the south. Southern residents complain that they have been economically and politically marginalized by the central government in Sana’a.