In a statement, the Workers' Party (PT) said a dawn "shooting attack" left one man in serious condition after a bullet struck him in the neck, while a woman was lightly wounded by flying debris.
The vigil outside the federal police building began on April 7, when Lula, who is 72, entered the building to begin a 12-year sentence for corruption.
The PT, which Lula co-founded, has pledged to continue the vigil until his release. Although the protest began outside the police station, it was later ordered to move to a spot some 800 meters (yards) away.
"This is outrageous," tweeted PT president Gleisi Hoffmann, identifying the badly wounded man as an activist from Sao Paulo. "We are expecting tough measures from the security services."
Initial information indicated a passerby fired several shots, some of which struck a chemical toilet; flying debris struck a woman in the shoulder causing minor wounds, a security service statement said.
It said spent shells from a 9mm pistol were found at the scene.
Lula, who served as president from 2003-2010, was jailed earlier this month for accepting a seaside apartment as a bribe. The matter was uncovered during the operation known as "Car Wash," the sprawling Brazilian corruption probe that has engulfed Latin America.
Despite Lula's incarceration, polls show him remaining the front-runner for Brazil's October presidential election.
He claims he was framed to stop him from running, and the PT has insisted it will keep him as its candidate.
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