Capriles tweeted a video that showed smoke bellowing out of a burning building. He said there were no casualties in the incident.
The co-founder of the Primero Justicio (Justice First) party strongly hinted that President Nicolas Maduro may have been behind the attack.
“What is Maduro’s order? To kill us? If something happens, you know who’s responsible and what to do!!!” he tweeted in Spanish.
Around the same time, about a hundred protesters broke into an office of the Supreme Court and vandalized it, throwing construction materials inside and lighting a fire, according to a Reuters witness.
Thousands of people took part in marches across the country, with some protesters clashing with security forces. The unrest was sparked by the Maduro government’s recent decision to bar Capriles from running for office for 15 years.
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The 44-year-old, who was seen by many as the opposition’s best chance in the presidential election scheduled for 2018, was barred for allegedly breaking contracting laws and improper management of donations. Critics say the ban allows Maduro’s Socialist Party to sideline popular politicians without due process.
Earlier Saturday, Capriles had urged a crowd of supporters in Caracas to march to the office of the state human rights ombudsman, whom the opposition says is a puppet of the government.
“The country has chosen the path of dictatorship,” he said.
— With files from Reuters