Police spokesperson Clifford Molefe said Lipolelo Thabane, 58, was travelling home with a friend when both women where shot by an unknown assailant in the town of Masana, just outside the capital, Maseru.
Mr Molefe said Ms Lipolelo died on the scene while her friend was taken to a nearby hospital. Mr Molefe said the motive of the shooting was unknown and that investigations were ongoing.
Lesotho, which has been on a political knife-edge since an attempted coup in 2014, held elections last week, the third in five years, after then-prime minister Pakalitha Mosisili lost a no-confidence vote in March.
Mr Thabane and Ms Lipolelo had been living separately since 2012 after Mr Thabane filed for a divorce which had yet to be granted by the courts.
Mr Thabane's office was unreachable for comment.