Witnesses said police also beat demonstrators with batons injuring at least three people.
The protesters, from the Shia minority, were demanding the release of prisoners they say have been held without charge.
Protests are illegal in Saudi Arabia, which has had an absolute monarchy since its unification in the 1930s.
But last month the arrest of Shia cleric Sheikh Tawfiq al-Amer, detained reportedly for calling for a constitutional monarchy, sparked outrage and drew crowds on to the streets.
He was released last weekend, but relatively small-scale protests have continued in the Eastern Region, where much of the country's crude oil is sourced.
The protesters have been demanding the release of nine Shia prisoners who they say have been held without trial for more than 14 years.
A witness in Qatif told AFP news agency the crowds had once again been demanding the prisoners' release.
"As the procession in the heart of the city was about to finish, soldiers started shooting at the protesters, and three of them were wounded," the witness said.
Other accounts said the police had also used stun grenades and had beaten the protesters with batons, injuring many more than three.
Rights groups have accused the police of beating protesters during previous rallies in Qatif.
An interior ministry spokesman told reporters that police had fired over the heads of protesters on Thursday.
The spokesman added that three people, including a policeman, had been injured.
The unrest comes amid calls over the internet for a so-called "day of rage" protest in cities throughout the country after Friday prayers.
Analysts say it is unclear whether anyone will heed the calls, as Saudi Arabia has so far not seen protests on the same scale as other nations in the Middle East and North Africa.
Shias, who are mainly concentrated in the east of the country, make up about 10% of the population in Sunni-dominated Saudi Arabia.
The region borders Bahrain, a Shia-majority kingdom ruled by a Sunni government that has been rocked by anti-government protests since mid-February.
Amid signs of growing unrest in the region, Saudi Arabia's King Abdullah recently unveiled $37bn (£22.7bn) in benefits for citizens, including a 15% pay rise for state employees.