BANGKOK (AFP) - Leaders of the pro-government 'Red Shirts' on Sunday ordered tens of thousands of their supporters to end a mass rally in Bangkok after violence left at least one person dead and dozens more wounded.

"In order to avoid further complicating the situation for the government, we have decided to let people return home," Thida Thavornseth told protesters gathered in a Bangkok stadium.

One person was shot dead and at least 35 wounded late Saturday as anti-government demonstrators clashed with Red Shirts in the area around the stadium, according to emergency services.

Tensions in the Thai capital remained high on Sunday after reports of fresh violence near the stadium and threats by opposition demonstrators to try to enter key government buildings, including the headquarters of embattled Thai premier Yingluck Shinawatra.

On Saturday, police said protesters hurled bottles at officers near the stadium in the Ramkhamhaeng district, where more than 70,000 Red Shirts were gathered.

Gunshots were later fired near the stadium, claiming the first life in the recent protests, according to police, although the circumstances of the fatality were unclear.

The opposition demonstrators, who want to replace Prime Minister Yingluck's government with an unelected "people's council", have mounted the kingdom's biggest street rallies since political violence in Bangkok three years ago left dozens dead in a military crackdown.

The protests were triggered by an amnesty bill, since abandoned by the ruling party, that opponents feared would have allowed the return of fugitive former premier Thaksin Shinawatra, Yingluck's brother, whose overthrow by royalist generals in 2006 unleashed years of political turmoil.