Saleh handed over power last month to Vice-President Abd-Rabbu Mansour Hadi, seeking to end 10 months of opposition to his rule that paralysed Yemen. But the violence shows no sign of abating.
Tens of thousands of residents defied the shelling to march in Taiz city centre demanding that Saleh be put on trial.
Residents said government forces used artillery, tanks and rockets on Saturday in residential areas of Taiz, trapping about 3,000 families in the commercial hub some 200 km (120 miles) south of the capital Sanaa. Opposition fighters responded with medium and light fire, they said.
Medics said two people were killed, one of them an activist shot by a sniper during the demonstration. The second was a bakery worker killed in front of his shop. A woman was also wounded.
An official from Saleh's party said the latest violence followed differences with opposition parties over the composition of a military committee agreed last month as part of the transitional deal following Saleh's departure.
Ten people died in fighting on Thursday, including five government soldiers, and five more were killed on Friday, medics and security sources have reported.