The violence rocking Banjul early on Tuesday comes as longtime ruler Yahya Jammeh is out of the country on a visit to France.
Witnesses who spoke to AP on condition of anonymity for fear of reprisals said that soldiers linked to the presidential guard were involved, raising the specter of a mutiny.
The deputy of the National Intelligence Agency, Louis Gomez, refused to comment on the reports.
Gambia is a tiny former British colony surrounded by Senegal on both its northern and southern borders.
Human rights activists say Jammeh's regime is repressive and has targeted political dissidents, journalists, and gays and lesbians. He first took power at the age of 29 after a 1994 coup.