Riot police arrested several people after dispersing the demonstration using tear gas, according to witnesses.
The interior ministry said on Wednesday it would not authorise any protests called for by Al-Wefaq and that security forces would use force to "maintain security."
"Calls for unauthorised demonstrations show a lack of credibility from certain parties... in restarting dialogue for national reconciliation," government spokeswoman Samira Rajab said on Friday.
King Hamad had called during the week for a new round of national dialogue, previously shunned by the Shiite-led opposition.
Last month Crown Prince Salman bin Hamad al-Khalifa also called for a dialogue as protests continued in the Shiite-majority kingdom despite a heavy-handed crackdown on demonstrations in March 2011.
The Gulf state has been shaken by unrest since its forces in March 2011 crushed a month of popular Shiite-led protests demanding greater rights and an end to what they said was discrimination by the Sunni royals.
The International Federation for Human Rights says 80 people have died since the start of the Arab Spring-inspired uprising on February 14, 2011.