A brawl broke out injuring at least 10 people, including the Social Democrat leader Zoran Zaev, who was left with blood pouring down his face.
The protesters, supporters of ex-Prime Minister Nikola Gruevski's VMRO party, are demanding new elections.
Politics in the former Yugoslav republic has been deadlocked since an inconclusive election in December.
But the crisis goes back further, to a phone-tapping scandal two years ago.
