Supporters of President Nicolas Maduro also held a counter rally Wednesday as opposition marchers gathered in the streets.
An hour into the march in Caracas, a 17-year-old boy was shot in the head, according to the Venezuela's public ministry, which said it had started investigating the incident. The teenager, later identified as Carlos Moreno, died while undergoing surgery, a hospital representative told CNN.
Moreno's sister, Alejandra, said Carlos studied economics at Venezuelan Central University in Caracas. Instead of joining the marches, she said, he was on the way to play soccer.
Video posted on social media showed a young man on the ground in the San Bernardino neighborhood -- a pool of blood near his head -- surrounded by marchers. A woman is heard yelling, "They've killed him."
The ministry said it was also investigating the Wednesday afternoon shooting death of Paola Andreina Ramírez Gómez, 23, in plaza San Carlos in San Cristóbal, Tachira state.
Jorban Contreras, a paramedic and director of the civil protection unit in Tachira, said the woman lost a lot of blood and was already dead from a gunshot wound to her chest when he arrived.
In a third death, Venezuelan National Guard Sgt. Niumar Jose San Clemente Barrios was fatally shot Wednesday night, said the public prosecutor's office and Venezuela's top human rights official, ombudsman Tarek William Saab. A second guardsman was wounded by a bullet, the officials said. Both were shot during "violent protests" in the municipality of Los Salias, south of the nation's capital, according to Saab.
The public prosecutor's office has called for an investigation into the shooting.
Maduro: Don't complain when law comes after you
Maduro, who along with his supporters called for the countermarch, had deployed the Venezuelan armed forces to the streets on Sunday night amid rising tensions.
He gave a fiery speech on Wednesday, accusing the opposition leaders of inciting violence. He called out the President of the opposition-controlled National Assembly, Julio Borges, saying "You are the head of the coup. Later, don't complain when the law comes after you."
Wednesday's marches underscored the widening political rifts in the country, where the opposition has accused Maduro of creating a dictatorship in the last few years. The government has repeatedly blocked any attempts by the opposition to oust Maduro from power by a referendum vote. It has also delayed local and state elections.
The opposition called for another march on Thursday, using the same strategy from the day before when protesters started their march at 26 different points throughout Caracas and converged at the office of the ombudsman, the government's top human rights official.
Government supporters and security forces on Wednesday succeeded in blocking marchers from reaching certain parts of the city, according to observers. Throughout the day, water cannons and tear gas canisters were unleashed on opposition marchers.
Video posted on social media showed marchers -- some covering their faces -- crossing the narrow Guaire River in the nation's capital in attempts to elude tear gas blasts.
The video was posted by David Smolansky, mayor of the municipality of El Hatillo and an opposition leader.
In Washington, US Secretary of State Rex Tillerson expressed concerns to reporters Wednesday that the "government of Maduro is violating its own constitution and is not allowing the opposition to have their voices heard, nor allowing them to organize in a way that expresses the views of the Venezuelan people."
Colombian President Juan Manuel Santos said via Twitter on Wednesday that he had directed his country's exterior ministry to ask the UN Secretary General to address what he called the "worrying militarization of Venezuelan society."
What the opposition wants
The last vote held in Venezuela, the parliamentary election of 2015,
gave the opposition a majority. Critics say any elections since have been delayed because Maduro is afraid of the outcome.
Then, on March 29, the Venezuelan Supreme Court dissolved the Parliament
, transferring all legislative powers to itself. By doing away with the opposition-controlled legislative branch, the move effectively meant the remaining two branches of Venezuelan government were controlled by the ruling United Socialist Party. The opposition was outraged and called the move a coup. The decision was reversed three days later, but by that time protests had already erupted.
The protests have been bloody. Six people have died and countless others, many journalists, have been injured.
The opposition call became even stronger when, on April 7, the government notified main opposition leader Henrique Capriles that he had been banned from doing any political work for 15 years
. The 44-year-old governor, who has run for president twice, said the government was again acting like a dictatorship.
Maduro, 54, has been defiant. Instead of taking steps to reduce tensions with the opposition, he has taken a confrontational tone with members of the opposition and protesters, whom he calls "vandals and terrorists."
Opposition leaders have called for the National Assembly's powers to be fully restored, for all the political prisoners to be freed, for a humanitarian corridor to be opened and for the stalled elections to take place.
A troubled economy
Unemployment, meanwhile, is set to surpass 25% this year, possibly on its way to 28% next year. It was at 7.4% in 2015.
Venezuela's economy shrank 18% last year, its third year of recession. It is expected to be in the red this year and next.
When there is food and water on the shelves, prices are so high that few Venezuelans can afford it. Many have taken to eating out of the trash.
Medicine also remains in short supply. Venezuelans hunt for penicillin and other remedies at pharmacies everywhere, often without success. The country's public hospitals have fallen apart,
causing people, including infants, to die because of the scarcity of basic medical care.
Venezuela recently asked the United Nations for help to relieve serious shortages of medicines in the country.