Political tension
At the scene, authorities ordered onlookers back, saying they were checking for a second bomb.
"We are now looking for another two to three bombs, as we have found one suspicious object," national police chief Prawut Thawornsiri told Reuters.
"There could be another explosion, so we have blocked off the crime scene and are asking bystanders to move back."
Authorities stepped up security checks at some major city intersections and in tourist areas.
While initial suspicion might fall on Muslim separatists in the south, Thailand has been riven for a decade by an intense and sometimes violent struggle for power between political factions in Bangkok.
Occasional small blasts have been blamed on one side or the other. Two pipe bombs exploded outside a luxury shopping mall in the same area in February, but caused little damage.
Police said that attack was aimed at raising tension when the city was under martial law.
The army has ruled Thailand since May 2014, when it ousted an elected government after months of at times violent anti-government protests.
The shrine intersection was the site of months of anti-government protests in 2010 by supporters of ousted former Prime Minister Thaksin Shinawatra. Dozens were killed in a military crackdown and a shopping centre was set ablaze.