Four witnesses said soldiers had fired the bullets and at least two people had been shot. In a Twitter post, the Nigerian Army said no soldiers were at the scene.
On Wednesday, a witness saw smoke rising from around the Lekki toll gate area.
Thousands of Nigerians have demonstrated nationwide every day for nearly two weeks against a police unit, the Special Anti-Robbery Squad (SARS), that rights groups had for years accused of extortion, harassment, torture and murders.
Authorities imposed the 24-hour curfew on Lagos on Tuesday after the state governor said the protests had turned violent.
On Wednesday, Police had set up roadblocks in the city and were not allowing vehicles to pass, although there were a few cars and people walking, two Reuters witnesses said.
They said some of the police were armed and wore body armour. Witnesses also heard the sound of gunfire in the Okota and Ebute Metta areas of mainland Lagos.
The SARS unit was disbanded on Oct. 11 but the protests have persisted with demonstrators calling for law enforcement reforms.
Lagos State Governor Babajide Sanwo-Olu tweeted pictures of him visiting people in hospital who were victims of what he referred to as the "unfortunate shooting incident" in Lekki, an upmarket district where the toll gate has been the site of daily protests.
He said 25 people were being treated for mild to moderate injuries, two were receiving intensive care and three had been discharged.
"I recognise the buck stops at my table and I will work with the FG (federal government) to get to the root of this unfortunate incident and stabilise all security operations to protect the lives of our residents," said Sanwo-Olu, adding that he would give a broadcast on Wednesday morning.
People who attended the protest late on Tuesday described being shot at by soldiers.
Inyene Akpan, 26, a photographer, said more than 20 soldiers arrived at the toll gate in Lekki and opened fire. He said he saw two people being shot.
Akinbosola Ogunsanya, a third witness, said he saw around 10 people being shot. Ogunsanya, who said lights went out shortly before the soldiers arrived, also said he saw soldiers remove bodies.
Another witness, Chika Dibia, said soldiers hemmed in people as they shot at them.
A Nigerian army spokesman did not respond to requests for comment.
Nigeria sovereign Eurobonds fell more than 2 cents on the dollar on Wednesday in the wake of the shooting.
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