The protest was spurred by concerns that Guinea's ruling junta, which took power in a coup last September, is not moving quickly enough to restore civilian rule.
The protest was called by the FNDC, a coalition of politicians and activists that also opposed former President Alpha Conde's efforts to hold onto power.
"The FNDC deplores the death, this afternoon in Hamdallaye, of a citizen hit by a bullet, several injured by live ammunition and numerous arrests," said the National Front for the Defence of the Constitution (FNDC) in a statement late on Thursday.
A senior police official who declined to be named denied the information and said several police officers were injured.
Guinea's attorney general ordered a judicial investigation into those responsible for the march.
It was the second major protest against the junta in recent months. One person was killed in a protest over fuel price hikes in June, and Guinea charged a police officer with murder.
Coup leader Mamady Doumbouya has proposed a 36-month transition to elections, which regional leaders and opposition politicians have rejected.
President Conde was overthrown last year after changing the constitution to allow himself to run for a third term in 2020.
