According to local press reports an unidentified gunman fired at worshippers at an Orthodox church in the town of Kizlyar in the mainly Muslim region.
"An unknown man opened fire with a hunting rifle in Kizlyar, fatally wounding four women," the regional internal affairs ministry said in a statement.
A fifth woman died of her injuries in hospital, health ministry spokeswoman Zalina Mourtazalieva told TASS news agency.
Two Russian police officers were injured in the attack.
The attacker was "eliminated" by police fire, the regional internal affairs ministry added.
According to a local official the assailant was a local man in his early twenties, the Interfax news agency reported.
The Russian RBK daily quoted an Orthodox priest saying the attacker had opened fire on churchgoers following an afternoon service.
"We had finished the mass and were beginning to leave the church. A bearded man ran towards the church shouting 'Allahu Akbar' ('God is greatest') and killed four people," Father Pavel told RBK.
Dagestan, bordering Chechnya, is one of the poorest and most unstable regions of Russia.
Islamist rebels from the region, which lies immediately east of Chechnya, are known to have travelled to Syria to join the Islamic State group.
In 2015, IS declared it had established a "franchise" in the North Caucasus.
It has claimed a number of attacks on police in Dagestan in the last couple of years that have involved guns and explosives, as local security forces battle a simmering Islamist insurgency.
Sunday's shooting comes exactly one month before the March 18 presidential election that Vladimir Putin is almost guaranteed to win.
(This story has not been edited by NDTV staff and is auto-generated from a syndicated feed.)
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