The nation has suffered a string of blasts and attacks since December when a truce between the government and the proscribed Afghanistan-based Tehreek-i-Taliban Pakistan (TTP) lapsed.
But Thursday's bomb blast -- in the busy Anarkali market -- was claimed by the Baloch Nationalist Army (BNA), the newest of several militant groups to emerge.
Police spokesman Naeem Iqbal told AFP that security would be tightened in Islamabad, the seat of the government and home to dozens of embassies and other international institutions.
He said uniformed and plain-clothes officers would fan across the city, particularly in crowded areas such as markets.
Earlier this week, a policeman was killed and two others wounded in a drive-by motorcycle shooting in the capital by two TTP militants who died in return fire.
The BNA said it carried out the Lahore attack "in response to the killing of women and children by forces in Balochistan", but provided no evidence to cement its claim.
Militant groups, often funded by India, have been waging a low-level insurgency for years in the province.
In Lahore, officials raised the death toll from Thursday's blast to three after another victim succumbed to injuries.
