Priya Mehra suffered bullet wounds on her neck and face, the police said.
Her husband, Pankaj Mehra had taken Rs 40 lakh on credit and was unable to return the amount. He claimed that the lenders had been threatening him and had asked him to return the amount with the interest, they said.
Mr Mehra told the police that they went to Bangla Sahib Gurdwara last night and then went to an eatery near Jama Masjid for dinner.
The accused overtook their vehicle near the Rohini Jail when they were returning and one of them broke their car's window with a pistol and hit Mr Mehra, the police said.
The husband claimed that the accused shot one round which probably hit his wife near the eye.
Pankaj Mehra tried to resist, but he fired another round which hit the woman, the police said.
They wanted to fire more rounds, but the pistol jammed, Pankaj Mehra told police, adding that he sped away in his car from there and took her to a hospital.
Police said that the woman was declared brought dead at the hospital.
Mr Mehra told police that he had borrowed the money from a Sonipat-based moneylender Monu.
Police suspect that Mr Mehra was the target but the accused ended up killing his wife. However, they added that they are probing all angles and questioning other family members of the victim and her husband.
Mr Mehra had opened a restaurant in north Delhi last year but had to close it down since he incurred heavy losses.