The sources said that a 27-year-old woman died from a gunshot wound in her head, which she received during unrest at the Altamira neighbourhood of Caracas. Another person was killed in the Aragua state, according to the sources.
On Wednesday, both supporters of Venezuelan President Nicolas Maduro and the opposition held Labour Day demonstrations.
Medics in the Chacao neighbourhood of Caracas said that 27 people had been injured during the rallies.
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Meanwhile, the administration of Chacao said that 13 people had been wounded.
Earlier, UN Children's Fund (UNICEF) Executive Director Henrietta Fore said that More than a dozen children were wounded during clashes in Venezuela.
The situation in Venezuela escalated on Tuesday when the opposition attempted to carry out a coup. The authorities, however, subsequently said that the coup attempt failed.