About 1000 demonstrators gathered on Thursday morning at a federal building where an immigration court is housed, chanting "shame" and "murder" at armed and masked federal officers, some of whom used tear gas and pepper balls on protesters.
In a separate incident on Thursday afternoon, US federal agents shot two people in Portland, police said, adding they were taken to hospital and their conditions were not known.
Portland police said its officers were not involved in the incident, while an ABC News affiliate reported that those involved in the shooting were US Customs and Border Protection agents and the FBI was leading the probe.
Minnesota and US administration officials offered starkly different accounts of the shooting, in which an unidentified Immigration and Customs Enforcement agent shot US citizen Renee Nicole Good in a residential neighbourhood.
The Minnesota Bureau of Criminal Apprehension said on Thursday it had initially agreed with the FBI to conduct a joint investigation into the shooting but that the federal agency had "reversed course" and taken sole control over the probe.
The decision, according to the BCA superintendent Drew Evans, means the state bureau will no longer have access to the scene evidence, case materials or interviews.
"As a result, the BCA has reluctantly withdrawn from the investigation," Evans said.
Keith Ellison, the state's Democratic attorney general, told CNN the FBI's decision was "deeply disturbing" and said state authorities could investigate with or without the co-operation of the federal government.
He added that the evidence he has seen, including some that has not yet been made public, indicates that state charges are a possibility.
The FBI and the office of US Attorney Daniel Rosen, the chief federal prosecutor in Minneapolis, did not immediately respond to questions about the BCA statement.
At the White House on Thursday, US Vice President JD Vance called the death a "tragedy" but spoke in defence of the agent, who was among 2000 federal officers sent by the Trump administration to the Minneapolis area this week.
The deployment is described by the Department of Homeland Security as the "largest DHS operation ever".
DHS officials, including Homeland Secretary Kristi Noem, defended the shooting as self-defence and accused the woman of trying to ram agents in an act of "domestic terrorism".
Minneapolis mayor Jacob Frey, a Democrat, dismissed the assertion based on bystander videos taken of the incident that appeared to contradict the US government's account.
Videos showed two masked officers approaching Good's car, which was stopped at a perpendicular angle on a Minneapolis street.
As one officer ordered Good out of the car and grabbed at her door handle, the car briefly reversed and then began driving forward, turning to the right in an apparent attempt to leave the scene.
A third officer, positioned in front of her car on the left, drew his gun and fired three times while jumping back, with the last shots aimed through the driver's window after the car's bumper appeared to have cleared his body.
The video did not appear to show contact and the officer stayed on his feet although Noem said he was taken to a hospital and released.
Minnesota law allows the use of deadly force by an officer only if an objectively reasonable officer would believe that doing so was necessary to protect the officer or others from immediate death or serious harm. Federal law has a similar standard.
