Denis Voronenkov was killed outside the Kyiv Premier Palace Hotel in the Ukrainian capital of Kiev at noon today (10am GMT), the city's police chief Andriy Kryshchenko said.
The former Russian MP's bodyguard was injured in the attack.
His assailant is now being treated in hospital under armed guard after being wounded by the bodyguard, police added.
Denis Voronenkov was shot dead outside his hotel in Kiev
Mr Voronenkov's wife, Maria Maksakova, was devastated at the scene
Current Ukraine President Petro Poroshenko said the 45-year-old's killing was an act of Russian "state terrorism" – something the Kremlin has called "absurd".
The Russian MP's wife, Maria Maksakova, was with the pair and fainted after the shooting.
She is believed to be pregnant with their second child and was seen at the scene in the hours after in a devastated state.
Images show former Russian MP shot dead in Kiev Thu, March 23, 2017
Denis Voronenkov was killed in the Ukrainian capital of Kiev
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Ukrainian police experts look for evidence next to the body of former Russian MP Denis Voronenkov after he was shot dead on March 23, 2017 in the center of Kiev
The father-of-one was in Kiev to testify at a treason case against former Ukrainian President Yanukovych, an ally of Russian President Vladimir Putin.
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A bullet casing was seen on the pavement next to his body, with photos showing people walking past as police covered him with a black sheet.
He appeared to have been shot in the head.
Mr Voronenkov, who was previously a staunch Putin supporter, fled Russia last October and renounced his citizenship after defecting to Ukraine.
In his last interview he revealed he was helping Ukrainian prosecutors to build a treason case against Mr Yanukovych, who fled to Russia during unrest in Ukraine in February 2014.
The ex-Ukraine president is suspected of ordering the killings of more than 100 protesters in Kyiv.
Denis Voronenkov was a former Putin supporter but turned on him last year
Mr Voronenkov and his wife, renowned opera singer Ms Maksakova, who was also a Russian lawmaker, feared they would be killed after defecting.
In February, he told journalist Christopher Miller Russia today is like "Nazi Germany" and the 2014 annexation of Crimea was a "mistake and illegal".
Police found a small handgun near the body of Mr Voronenkov
He claimed Russia's Federal Security Service (FSB) – which replaced the KGB, of which Mr Putin was an operative – "hounded" him out of Russia.
He said he felt relatively safe in Kyiv, despite raising concerns about the FSB.
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