Azimio leader Raila Odinga's security vehicle came under a hail of bullets as police confronted Opposition supporters as they headed to the Central Business District.
It was not immediately known if the bullets hit the occupants of the vehicle.
The rear windows of the vehicle were smashed during the confrontation.
Several other vehicles in the convoy were also damaged.
Raila manoeuvred his way into the Central Business District after being partly blocked by police.
Raila was leading his supporters to Central Park in demonstrations against the Kenya Kwanza administration.
The CBD has been turned into a no-go zone for both motorists and pedestrians.
Heavily armed officers have prevented access to the CBD.
Those who have attempted to force their way in have been tear-gassed.
His convoy was surrounded by anti-riot police who blocked all roads to and from Kamkunji.