At least 11 people were injured, including five police officers, authorities said.
Hundreds of people took to the streets for peaceful protests in the hours after police released graphic footage of an officer shooting a 17-year-old last year.
A Chicago police officer has been charged with murder for shooting and killing a 17-year-old last year, authorities said Tuesday.
The gunfire came as Minneapolis grapples with protests over one police shooting and Chicago prepares for possible unrest over another.
Police and protesters had clashed Wednesday night, but that was followed by calm outside a police building.
Georgia carried out the last scheduled execution this year on Thursday night.
A police officer was shot and killed in what officials thought was a targeted killing and later said was a robbery.
Demonstrators standing amid freezing temperatures explain why they are digging in.
Officials identified the officers involved in the shooting, which sparked protests and has prompted a federal probe.
"At this time, we know of no specific or credible threats of an attack on the U.S. homeland," Homeland Security Secretary Jeh Johnson said.