About 1,500 Pakistanis, Moroccans and Iranians have been stuck in no-man's land between Greece and Macedonia for weeks after non-EU Balkan states began filtering migrants and granting passage only to refugees fleeing Syria, Iraq and Afghanistan.
Protests have swelled among desperate migrants stranded for days in squalid tent camps on the border in temperatures barely above freezing.
Wednesday's violence broke out after about 200 people were denied passage and began walking, for several kilometres, alongside a newly erected border fence, seeking an alternative opening.
Macedonian police fired tear gas to push back the crowd and one officer fired warning shots in the air, a Reuters witness said.
Tensions boiled over at the weekend after one migrant, believed to be Moroccan, was electrocuted and badly burned when he climbed on top of a rail wagon.
More than 800,000 people, most fleeing war, persecution and poverty in the Middle East, have arrived in Europe this year, overwhelming the continent's ability to cope with the unprecedented stream of people.
The decision to screen migrants based on nationality has drawn criticism from human rights groups that argue asylum requests should be treated on merit.
Greek Migration Minister Yannis Mouzalas said the government was trying to persuade the estimated 1,500 migrants stuck at the border to come to Athens and apply for asylum in Greece, saying there was accommodation available for them.
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