Inyene Akpan, 26, a photographer, said more than 20 soldiers arrived at the toll gate in Lekki and opened fire.
The authorities have promised an investigation into the shooting.
Nigerian footballer Odion Jude Ighalo, who plays for Manchester United, accused the Nigerian government of killing its own citizens.
Eyewitnesses spoke of uniformed men opening fire in the wealthy Lekki suburb of Lagos on Tuesday evening.
He also said that the number of policemen killed at various locations within the state would be released soon.
Social media footage streamed live from the scene shows protesters tending to the wounded.
"We were all sitting down, peacefully, and they shut down the lights and the billboards, everyone started screaming", a protester called Toye told AFP, asking that her full name not be used. They were firing into the crowd. Locals said the attack happened after police officers shot two people in the neighbourhood, leaving one dead.
Protesters gather at the front of the Lagos State Secretariat during Tuesday's protest
Nigerian authorities said on Tuesday that almost 2,000 inmates had broken out of jail after crowds attacked two prisons, while officials announced a 24-hour curfew in the megacity of Lagos in an attempt to quell the unrest stemming from two weeks of protests against police brutality.
"Currently I have two people that I rush in my vehicle, a woman and a guy, who are in very critical conditions", he said.
How have the authorities reacted?
Following initial reports on the shooting, Amnesty International Nigeria tweeted that they had "received credible but disturbing evidence of excessive use of force occasioning deaths of protesters at Lekki toll gate in Lagos".
The protesters now want an implementation plan of promises, regular updates, a take-off of judicial panels of inquiry across the states and psychological evaluation of redeployed former SARS operatives.
A Nigerian army spokesman did not immediately respond to requests for comment.
How did the unrest begin?
The demonstrators have not been satisfied with the disbandment of the SARS unit and are demanding an end to abuses and respect for human rights in all parts of the police force.
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