The device went off close to where police and anti-government protesters clashed earlier on Tuesday. It is unclear if the incidents are related.
Deputy PM Chavalit Yongchaiyudh said he was resigning over the clashes, in which about 100 people were injured.
The protesters have now regrouped and are thought to be trying to prevent some lawmakers leaving parliament.
Prime Minister Somchai Wongsawat reportedly managed to leave by climbing through a barbed wire fence at the back of the building, before being flown to safety.
The protesters say Mr Somchai and his recently ousted predecessor, Samak Sundaravej, are just proxies for former PM Thaksin Shinawatra.
They are members of the People's Alliance for Democracy (PAD), a group that wants to replace the one-man, one-vote system with a system in which some of the representatives are chosen by professions and social groups rather than the general electorate.
Mr Thaksin, Mr Somchai's brother-in-law, was forced from office in a military coup in 2006.
The protesters have been occupying the grounds of government buildings for six weeks, but the demonstration had so far been largely peaceful.
Mr Somchai said on Tuesday that he was not considering imposing a state of emergency in Bangkok.
BBC
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