In the town of Bondo, the rural home of opposition leader Raila Odinga, a large crowd confronted officers outside the police station, scattering as live shots were fired.
Witnesses told AFP two were shot dead. "One person had his head shattered by a bullet while the other was hit on the chest," said eyewitness Sam Oguma.
"One of them has a large injury on the head and another on the chest. They are all lying there in a pool of blood," said another witness Charleston Okelo.
The protests come as Kenya is mired in confusion over a presidential election that is due to take place in less than two weeks, on October 26.
The country's Supreme Court annulled the results of an August 8 election -- won by President Uhuru Kenyatta -- citing irregularities in the counting process and mismanagement by the Independent Electoral and Boundaries Commission (IEBC).
However, Odinga on Tuesday announced he would not take part, accusing the IEBC of failing to make fundamental reforms.
Odinga has argued that his withdrawal from the race forces the IEBC to cancel the election and begin the whole process from scratch -- allowing more time for his reforms.
Kenyatta today signed a supplementary budget allocating 12 billion shillings ($116 million, 98 million euros) for the new election.
The government ban on protests has further angered the opposition National Super Alliance (NASA) coalition.
Security Minister Fred Matiangi yesterday banned rallies in the centre of Nairobi, Mombasa and Kisumu, accusing opposition supporters of lawlessness after property was destroyed, passers-by robbed or assaulted, and business disrupted.
However, the opposition pushed ahead with protests today, and plans to stage daily rallies next week.
Kisumu is just 50 kilometres away from Bondo
Burning tyres blocked main roads in the city, bringing business to a standstill.
"We have the report of one person shot and he has been taken to hospital," a senior police officer told AFP on condition of anonymity.
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