One of the women died, the other was critically wounded.
The incident took place in the remote town of Khost near Afghanistan’s border with Pakistan.
It comes as Afghanistan intensifies security ahead of presidential elections on Saturday, in response to threats of violence by the Taliban.
Associated Press photographer Anja Niedringhaus, 48, was killed instantly in the attack, the news agency confirmed.
Veteran reporter Kathy Gannon, 60, was said to be in a stable condition and receiving medical treatment.
They came under attack whilst sitting in a car in a convoy protected by Afghan soldiers and police.
The new president will succeed Hamid Karzai, who has been in power since the 2001 fall of the Taliban but is constitutionally barred from seeking a third consecutive term.
“Two female journalists were shot this morning inside a district police headquarters, one has been killed, while the other is seriously wounded,” Khost provincial spokesman Mobarez Mohammad Zadran told the AFP news agency.
The two journalists had been visiting Tanay district in Khost province with an official from the Independent Election Commission when the attack took place.
The police officer behind the attack is currently being questioned in custody.
The Taliban has stepped up its attacks in recent weeks, in a bid to disrupt preparations for the election.
Last month, a senior reporter for AFP, Sardar Ahmad, was killed alongside eight other people when Taliban gunmen attacked a hotel, which was popular with foreigners, in the Afghan capital of Kabul.
Nearly 200,000 troops have been deployed across the country to prevent attacks by the Taliban.
Rings of security have been set up around each polling centre, with the police at the centre and hundreds of troops on the outside.
The election is being protected by the biggest military operation since the fall of the Taliban.
Reporting restrictions are in place, limiting what can be broadcast about the candidates.
If nobody wins more than 50% of the vote in this round, a run-off election will be necessary.
There are eight candidates for president, including former Foreign Ministers Abdullah Abdullah and Zalmai Rassoul, and former Finance Minister Ashraf Ghani Ahmadzai.
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