Authorities had banned the protest but several dozen activists from the opposition Azadliq, or Freedom bloc, gathered outside a government building in the Azerbaijani capital.
The opposition was protesting sharp increases in electricity bills, rents, and other prices the government imposed at the start of the year.
The Associated Press reported that police officers, wielding truncheons, moved in against small groups of protesters.
The price hikes have caused popular anger, with knock-on effects already visible on consumer goods such as newspapers and some foodstuffs.
The World Bank has repeatedly urged the Azerbaijani government to raise domestic oil prices. The head of the World Bank mission in Baku, Viktor Kramarenko, said in June last year that reducing subsidies on oil products would enable the government to increase social spending.