King Letsie III is appointing a cabinet minister to run the country. It was not immediately clear who would be named to run the nation of about two million that is completely surrounded by South Africa.
The military say they disarmed police in the capital, Maseru, on Saturday. Prime Minister Thomas Thabane called the actions a coup attempt but Lesotho defence forces say they only stepped to stop police arming demonstrators.
Mr Thabane said he fled to South Africa in fear for his life and to consult with regional leaders there. The deputy prime minister, Mothetjoa Metsing, was put in charge, according to provisions in the constitution, but he is now in South Africa too.
Political tensions have been high between Mr Thabane and Mr Metsing and within the coalition government in the tiny kingdom since June when Mr Thabane suspended parliament to dodge a vote of no confidence.
Lesotho has seen a number of military coups since gaining independence from Britain in 1966 but there was little evidence of conflict in Maseru yesterday. The demonstration that sparked the crisis had also been called off.