TV reports also showed troops retreating after being attacked by mobs in Ubon Ratchathani, and more unrest was reported in the northern city of Chiang Mai, Thailand's third-largest.
After protest leaders surrendered, their enraged followers scattered to other parts of the city to set fires, and some looting was reported.
One of the most striking images was gray smoke pouring from Bangkok's landmark Central World shopping mall. One of Southeast Asia's largest shopping complexes, it measured 550,000 square meters (5.9 million square feet) and its total retail area was 1 million square meters (11 million square feet) -- about twice as big as the giant Mall of America in Minnesota.
Thailand's stock exchange will be closed for the rest of the week after the building's ground floor was set on fire, according to its president, Patareeya Benjapolchai.
She said that the exchange, where about $600 million of shares change hands each day, may reopen Monday. The central bank, meanwhile, said all financial institutions in Bangkok, including commercial banks, would be shut Thursday and Friday.
Cabinet minister Satit Vongnongteay described the chaos as anticipated "aftershocks" of the crackdown.
Rioters also turned their rage on the local media, which has been accused of pro-government coverage. They attacked the offices of state-run Channel 3, setting fire to cars outside and puncturing water pipes that flooded the building.
"Channel 3 need urgent help from police, soldiers!!!" tweeted news anchor Patcharasri Benjamasa. "News cars were smashed and they are about to invade the building."
The building was set on fire, but its staff fled to safety. The English-language Bangkok Post newspaper evacuated its staff over fears of an attack.
Abhisit said in a televised address Wednesday night that troops had been given the go-ahead to shoot suspected arsonists. A 10-hour curfew took effect in Bangkok and other provinces at 8 pm, and the government said army operations would continue through the night. Another announcement said captured arsonists and "terrorists" could face capital punishment.
It is the first time that Bangkok has been put under curfew since 1992, when the army killed dozens of demonstrators seeking the ouster of a military-backed government in a crisis now know as "Black May."
"Tonight is going to be another worrisome night," government spokesman Panitan Wattanayagorn said.
Authorities also imposed a partial media blackout on local TV stations, saying all of them would have to show government-prepared bulletins.
Seven top Red Shirt leaders surrendered Wednesday, saying they could not stand seeing their supporters being killed.
"Brothers and sisters, I'm sorry I cannot see you off the way I welcomed you all when you arrived here. But please be assured that our hearts will always be with you," Nattawut Saikua, a key leader, said as he was arrested. "Please return home."
Somyot Pruksakasemsuk, another Red Shirt leader, said the movement would go on despite the day's events.
"This is not the end," he said. "It will spread further and the situation will deteriorate. Initially, independent mass movements in Bangkok and other provinces will begin, then riots will ensue. This will be done by individuals, not by protest leaders. The crowds will reunite soon."
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