The gunmen were in a truck when they shot at the crowd. Riot police returned fire. It was not immediately clear who shot the man or if he was a demonstrator.
The attack came a day after U.S. Ambassador James Foley signed a communique exhorting the police to protect the demonstrators against "armed gangs."
Haiti, the poorest country in the Western Hemisphere, has been in turmoil since Aristide swept flawed 2000 elections. Since mid-September, at least 23 people have been killed during anti-government demonstrations.
Monday's demonstration was one of the largest in the capital, swelling to 10,000 people.
"We need a change," said Paul Destin, 30. "We're losing our freedom of speech and street thugs are terrorizing the people. This has got to stop."
Aristide has been struggling to maintain support.
Many have alleged the government has tried to repress anti-government demonstrations by using the police to break them up, or by allowing Aristide supporters to use strong-arm tactics against opponents.
Aristide was ousted in a 1991 coup and restored to power in a 1994 U.S. occupation. He stepped down in 1996 due to a term limit and was re-elected in 2000.
Aristide has refused opposition calls to step down, saying he will serve out his term until 2006.