President Saleh has been battling eight months of street protests.
Separately, the media chief of militant group al-Qaeda in the Arabian Peninsula was reportedly killed in an air strike.
Witnesses in Sanaa said protesters calling for the resignation of Mr Saleh were marching from their stronghold in Change Square to an area controlled by the elite Republican Guard force, which is loyal to the president.
Dozens of wounded were being taken by ambulances to a field hospital in Sixty Street.
Anti-government protesters have been camping there for months.
Mr Saleh has so far resisted calls from many Western countries to stand down, despite saying on several occasions he was prepared to do so.
On October 8 he said in a speech broadcast on state television: “I reject power and I will continue to reject it, and I will be leaving power in the coming days.”
Mr Saleh returned to Yemen unexpectedly last month from Saudi Arabia, where he had been receiving treatment after his office was shelled in June.
As well as street protests, he faces an insurrection by renegade army units.
Mr Saleh has repeatedly refused to sign a transition deal brokered by Gulf states, first presented in March, whereby he would hand over power to his vice-president in return for immunity from prosecution