Former Yemeni President Abd Rabbuh Mansur Hadi has fled the capital, Sanaa, weeks after he was put under house arrest by Houthi rebels who forced him to resign.
Abd Rabbuh Mansur Hadi is thought to have reached the main southern city of Aden.
It comes a day after rival parties agreed on the formation of a transitional council to govern the country.
Yemen has been in crisis since the takeover by the Houthis, a Shia group.
UN mediator Jamal Benomar announced the preliminary accord between feuding factions on Thursday and hailed it as “an important step”.
Abd,Rabbuh Mansur Hadi’s supporters in Aden have so far refused to recognize what they denounce as a political coup.
Last week, the governors of the provinces of Aden, Lahij and Mahra demanded the reinstatement of Abd Rabbuh Mansur Hadi and reaffirmed their support for Yemen becoming a federation of six regions.
Houthi rebels seized the capital Sanaa in September, before capturing the presidential palace and placing Abd Rabbuh Mansur Hadi under house arrest. He then quit his presidential post, saying he could not continue under such pressure.
The Houthis dissolved parliament and installed a five-member “presidential council” on February 6.
This sparked security concerns that saw several Arab and Western states close their embassies and remove diplomats.
Since overrunning Sanaa, the Houthis have expanded their control to coastal areas and regions south of the capital.
Their takeover was denounced as a coup by rival political factions and prompted mass protests, mainly from the country’s Sunni majority.
The Houthis have also faced fierce resistance from Sunni tribes and al-Qaeda militants.
Protests against anti-Islam film Innocence of Muslims made in the US are spreading across the Middle East and North Africa.
In Yemen, demonstrators briefly stormed the grounds of the US embassy in Sanaa and burnt the US flag, but were driven back by security forces.
In Egypt, 224 people were injured in protests, the health ministry said. Protests were also reported in Morocco, Sudan and Tunisia.
On Tuesday, US Ambassador to Libya, Christopher Stevens, was killed in Benghazi.
US officials say they are investigating whether the attack in Libya was planned, citing suspicions that a militant jihadist group may have co-ordinated the violence.
In Yemen, demonstrators briefly stormed the grounds of the US embassy in Sanaa and burnt the US flag
Libya’s new Prime Minister Mustafa Abu Shagur told the AFP news agency there had been a “big advance” in the investigation in Benghazi.
“Arrests have been made and more are under way as we speak,” he said but gave no details.
US Secretary of State Hillary Clinton condemned the film which gave rise to the protests as “disgusting” and “reprehensible”.
The US utterly rejected its contents and its message, she said, but the film was no excuse for violence.
Police in Sanaa shot in the air, but failed to prevent crowds from gaining access to the embassy compound and setting fire to vehicles.
Security force reinforcements used tear gas, water cannon and live fire to drive protesters back.
There were reports of injuries on both sides, although the Reuters news agency carried a statement from the embassy saying there were none.
Windows were smashed. A US flag was torn down and replaced with a black flag bearing the Muslim statement of faith, “There is no God but Allah”.
It was not immediately clear whether the embassy was occupied. There are reports that embassy staff has been moved to a safer location.
In Egypt, protests erupted for a third day outside the US embassy in Cairo, with some demonstrators demanding the expulsion of the ambassador.
Police fired tear gas at crowds throwing stones.
Islamist groups and others have called for a “million-man march” in Cairo on Friday.
The Muslim Brotherhood, the Salafist al-Nour party and non-religious groups including the “Ultra” fans of Zamalek football club have invited Muslims, Coptic Christians and all Egyptian citizens to join them.
Egypt’s President Mohammed Mursi appealed for calm, saying Egyptians “reject any kind of assault or insult” against the Prophet Muhammad.
“I condemn and oppose all who… insult our prophet. [But] it is our duty to protect our guests and visitors from abroad,” he said in a statement broadcast by state media.
“I call on everyone to take that into consideration, to not violate Egyptian law… to not assault embassies.”
US officials have described the Benghazi attack as complex and professional, and suggested the attackers may have used the film protest as a pretext for the attack.
Reuters quoted officials as saying there were suspicions that a militia known as the Ansar al-Sharia brigade was responsible, although the group has denied the claim.
The officials said there were also reports that al-Qaeda’s North Africa-based affiliate, al-Qaeda in the Islamic Maghreb, may have been involved, the news agency reports.
The obscure film which has sparked anger was shot in the US and posted online earlier this year. Clips have since been shown on Arab TV stations.
It depicts the Prophet Muhammad as a womanizer and the bloodthirsty leader of a ragtag group of men who enjoy killing.
The exact origin of the movie and the internet clip, and the motivation behind its production, remains a mystery.
The most offensive comments regarding Muhammad appear to have been dubbed on later, says our correspondent.
Some of the actors involved have since condemned the film, and said they had no idea it was to be used as anti-Islam propaganda.
In other developments:
• Libya’s PM Mustafa Abu Shagur says there is “no justification” for the Benghazi attack and investigations are under way to find the “criminals” responsible
• Russia says it fears “chaos” in the Middle East and Saudi Arabia condemns both the film and the violence
• Iranians chanting anti-US and anti-Israel slogans stage a protest outside the Swiss embassy in the Iranian capital, Tehran, which represents US interests
• Afghan President Hamid Karzai has postponed a planned visit to Norway, fearing violence could erupt in his country
• There were small protests in Bangladesh and Iraq, in addition to Morocco, Sudan and Tunisia
• Security has been increased at US embassies and consulates around the world; US officials say a marine anti-terrorism team is being deployed to Libya and two destroyers to the Libyan coast as a precautionary measure