Rioters attacked and beat police with clubs and rocks after authorities used concrete blocks to impede vehicular entry to the La Parada market.
News video shows one police officer firing a handgun and attackers beating police, including an officer who was kicked and pummeled after falling from his horse.
Dos de Mayo hospital director Jose Roca says a 32-year-old man died of a gunshot wound to the abdomen. He says eight police and 35 others suffered injuries, including some with bullet wounds.
Looters later robbed stalls in the adjacent Gamarra market, which U.S. Secretary of State Hillary Clinton visited last week with first lady Nadine Herrera.