Officers used tear gas to try to disperse hundreds of protesters who defied the county-wide curfew, which is in place until 07:00 on Monday (12:00 GMT).
Wisconsin Governor Tony Evers condemned the shooting of Mr Blake, who was reportedly unarmed.
“While we do not have all of the details yet, what we know for certain is that he is not the first black man or person to have been shot or injured or mercilessly killed at the hands of individuals in law enforcement in our state or our country,” he said in a statement.
“I have said all along that although we must offer our empathy, equally important is our action. In the coming days, we will demand just that of elected officials in our state who have failed to recognise the racism in our state and our country for far too long.”
Jacob Blake’s name was trending on social media and thousands signed a petition calling for the officers involved to be charged.
The shooting comes amid heightened tensions in the US over racism and police brutality following the death of African-American man George Floyd earlier this year.