It is unclear what sparked the protest. Some reports suggest it came after troops entered a local mosque.
Angry crowds then gathered outside the Border Security Force (BSF) camp in Ramban district in Jammu.
Kashmir, claimed by India and Pakistan, has seen protests and an insurgency against Indian rule since 1989.
Local reports say that many were injured when the police opened fire on Thursday. Some are in a critical condition.
“The BSF soldiers fired indiscriminately, downing protesters left, right and centre,” one witness who did not want to be identified told the Agence France-Presse news agency by phone.
Protests have spread across Kashmir, with angry crowds on the streets in the capital, Srinagar, too.
There has been no immediate response from the security forces. Media reports say that BSF personnel were among the injured.
Authorities have announced an inquiry and separatist groups have called for a shutdown across the region on Friday.
In recent years violence in the region has abated from its peak in the 1990s, but the causes of the Kashmir insurgency are still far from resolved