An opposition politician at the march estimated the number of dead at five, but there was no independent confirmation.
The violence is the latest in a spate of demonstrations in the world's top cocoa grower since President Laurent Gbagbo dissolved the government and the electoral commission a week ago, after a row over voter registration.
West Africa's former economic powerhouse is under increasing international pressure to resolve the row and restart an electoral process meant to end a crisis started by a 2002-3 war.
The poll originally was supposed to take place in 2005 and public anger is boiling over at years of political instability and limbo while Ivorians wait for elections seen as the only way of drawing a line under their bitter conflict.
"There are deaths but I cannot tell you the exact number as that is up to the authorities," a hospital source said.
The acting hospital director said he was not authorized to give the death or injury toll because the information was too sensitive.
Gagnoa's main street was littered with stones and the ashes of burned tires after the protest. The town was deserted by late afternoon, except for the police and gendarmerie.
Alexi Godou, a member of presidential candidate Alassane Ouattara's opposition Rally of the Republicans (RDR) party who organized the march, said: "The police and army fired on the marchers. We counted five dead at the morgue." He added that of the wounded, three were being treated in the local hospital.
An official in Ivory Coast's military headquarters who declined to be named said two security agents had been wounded after some protesters pelted them with stones.
A Reuters reporter saw three people being treated in hospital for gunshot wounds.
The killings by security forces are likely to escalate tensions that are already high.
Prime Minister Guillaume Soro, a former rebel until a 2007 peace deal, is due to name a government on Saturday, although that could be delayed by political wrangling. It is not clear when or how a new electoral commission will be formed.
Rising tensions threaten to hurt a cocoa industry that supplies 40 percent of world demand, and could scupper an election the World Bank this month said must be held if the country is to obtain debt relief.
