The protest turned violent as some in the crowd started looting shops and throwing stones at a small NATO base in the city.
NATO has confirmed its raid killed four people, two of them women, but says all were armed and tried to fire on troops.
NATO said that the raid targeted a man working with the Islamic Movement of Uzbekistan - an insurgent group that is powerful in the north. The man was involved in arms trafficking and building explosives, NATO said. The alliance did not say if he was killed or captured.
There was also deadly violence in the east on Wednesday. A suicide bomber crashed a car into a police bus, killing 14 people and wounding 16, said Zemeri Bashary, a spokesman for the Interior Ministry. Most of the casualties were police officers, he said.
The Associated Press contributed to this story