Dr Besigye was arrested on Monday, charged with inciting violence and later released Ugandan opposition leader Kizza Besigye has been injured after the military opened fire to disperse protesters in the capital, Kampala.
His close aide told the BBC it was not clear if his hand had been shot with a rubber bullet or live ammunition.
At least six other opposition politicians were arrested in the walk-to-work protest against high prices.
There were then angry demonstrations in several towns where the police used tear gas and fired into the air.
Dr Besigye was defeated by President Yoweri Museveni in February’s presidential election but says the poll was rigged.
Before the vote, he had called for Egypt-style uprisings in case of fraud.
The police responded by banning public demonstrations.
For the second time this week, the opposition asked people to walk to work to protest against rising fuel and food prices.
Police had tried to arrest Dr Besigye but hundreds of his supporters surrounded him.
Eyewitnesses say the army then stepped in and during the effort to arrest him he was shot in the hand.
“He was definitely shot I don’t know if it was with live or rubber bullets. He is receiving medical treatment and x-rays show he has broken bones in two fingers on his right hand,” a close aide of the opposition leader told the BBC.
Opposition supporters tried to set up barricades and the police have also sealed off many roads in Kampala.
The recently elected mayor of Kampala, Erias Lukwago, was among the opposition leaders arrested on Wednesday
The BBC’s East Africa correspondent Will Ross says the opposition started the walk-to-work campaigns on Monday, aware that any attempt to demonstrate in one place would be swiftly broken up by police.
Those who participated were small in number.
But our reporter says Mr Museveni’s government was clearly very worried about the possibility of demonstrations spreading and so opposition politicians, including Dr Besigye, were arrested.
They were charged with inciting violence and later released.
Monday’s police action was widely condemned by human rights groups and foreign embassies.
The Uganda Law Society said restrictions on constitutional freedoms were turning Uganda into a police state.
Dr Besigye has been defeated by Mr Museveni in three presidential elections, gaining 26% to the president’s 68% in February.
The pair used to be allies – Dr Besigye was once Mr Museveni’s personal physician.
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