Suspects detained by Ukrainian security forces following an explosion at a peace rally in Kharkiv are believed to have been trained in Russia.

A top Ukraine security official has said the four suspects, who were arrested after the blast which killed at least two people and injured 10, were using Russian-made weapons.

"[The suspects] were captured while attempting to attack with a flamethrower a club where soldiers and volunteers gather, as well as a shopping centre," Markiyan Lubkivskiy, a senior adviser in the Security Service of Ukraine (SBU) posted on Facebook.

The detainees are also thought to have plotted more attacks in Ukraine.

"They had planned other sabotage and terrorist activities. Discovered was a Russian-produced 'Shmil' [flamethrower]. According to the testimony of detainees, the group was trained in Belgorod [in Russia]," the post added.

A bomb went off in Kharkiv, Ukraine's second largest city, during a rally held to mark the anniversary of the uprising resulting in the ouster of former leader Viktor Yanukovych.

Following the blast, the city has been kept on high alert and a "counter-terrorism operation" has been launched.

"The anti-terrorist operation continues. In connection with the attack the city introduced the highest level of terrorist threat and initiated an anti-terrorist operation," said Olexandr Turchynov, chief of Ukraine's National Security and Defence Council.

Hundreds of marchers took part in rallies across the city which lies outside the conflict zone.

Despite the blast, the campaigners were undeterred and pressed went ahead with their rallies.

"Today is memorial Sunday, but on this day terrorist scum revealed its predatory nature," Ukrainian President Petro Poroshenko wrote on Facebook.

Poroshenko led the rallies in capital Kiev in which scores of top European officials participated alongside hundreds of supporters.