Attackers threw explosives and shot at demonstrators at a rally called by the People’s Democratic Reform Committee (PDRC).
The incident took place at a night market in the Khao Saming district of Trat province late on Saturday.
Tensions across Thailand have escalated since a wave of anti-government protests began in November.
The demonstrators want PM Yingluck Shinawatra to resign to make way for an appointed interim government, but she has refused.
On Tuesday several people were killed in clashes that erupted in Bangkok, when police began clearing protest sites.
The latest attack occurred about 180 miles south-east of Bangkok.
Officials said the five-year-old girl had been standing at a noodle stall when the attackers, in two pick-up trucks, opened fire at the PDRC rally. She died from a gunshot wound to the head.
At least 30 other people are believed to have been injured. Another child is said to be in a critical condition.
PDRC spokesman Suwicharn Suwannakha said the attack happened during a speech by a party leader, Thai newspaper The Nation reported.
Suwicharn Suwannakha said he first heard the explosions and gunfire and then saw chairs in front of the stage scattered.
No group has so far said it carried out the attack.
There has been growing frustration recently from the red shirts over the government’s inability to disperse the protesters, who have been occupying parts of central Bangkok for weeks.
Red-shirt leaders have organized a mass gathering in north-eastern Thailand this weekend to decide how they should fight back against the campaign to unseat the government.
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