Protests have been taking place across the US against the shooting of two black men by police officers.

Thousands gathered in many of America's biggest cities overnight leading to several arrests and injuries as demonstrators clashed with police.

Among those arrested was a prominent activist DeRay Mckesson who was attending a protest at Baton Rouge, in Louisiana. He confirmed his arrest to a Washington Post reporter and said he was being held with 33 others.

Other demonstrations took place in California, Colorado, Florida, New York, Pennsylvania, Rhode Island and Utah.

Yesterday was just one of the many days of widespread protests after the fatal shooting of 37-year-old Alton Sterling by police in Baton Rouge on Tuesday and the death of 32-year-old Philando Castile on Wednesday night in a Minnesota suburb.

Last Thursday, five police officers were killed and nine others were injured when a lone gunman opened fire at a Black Lives Matter rally in Dallas, Texas.

Police shut down the street in front of Dallas Police headquarters | Image: Nomaan Merchant / AP/Press Association Images

Dallas Police were under heightened security again yesterday after officers received an anonymous threat, which prompted a search of a nearby building.

The police department said it received a warning that claimed a group was coming from Houston with the intention of killing officers.

Following a search of the premises they gave the all-clear without releasing further details.