The government said the shutdown would continue until Sunday night to "maintain public safety".
Tens of thousands of protesting farmers have been camped out on Delhi's outskirts for more than a month.
Talks between unions and the government have failed to break the deadlock.
The protest made international headlines on Tuesday when a tractor rally ended in violent clashes that left one protester dead and dozens of police officers injured. Some demonstrators stormed Delhi's historic Red Fort and occupied it until police pushed them back.