Thomas Thabane's wife Lipolelo, was shot dead in the Ha Masana village, 35 kilometres (22 miles) south of the capital Maseru.
Thomas Thabane's wife Lipolelo, 58, was shot dead in the Ha Masana village, 35 kilometres (22 miles) south of the capital Maseru where she lives, as she was driving with a friend on Wednesday.
Samonyane Ntsekele, the secretary general of Thabane's All Basotho Convention party, said the prime minister-elect was devastated by the shooting.
"Yes it is true that Mrs Lipolelo was shot dead last night... Everyone is traumatised by these developments," he said.
Thabane is due to replace Pakalitha Mosisili, prime minister since 2015, after forming a coalition with three other parties following elections earlier this month that handed his party most seats in parliament.
He and Lipolelo are understood to have been embroiled in a bitter divorce dispute. Lipolelo reportedly won a court case against Thabane during his first stint as prime minister affirming her position as Lesotho's first lady instead of Thabane's youngest wife, Liabiloe Thabane.
A police source told AFP that Lipolelo had been driving with a friend when they spotted a man walking down the road.
"The suspect pulled out the gun and opened fire on them. Lipolelo died on the spot while the other woman is fighting for her life in hospital," he said.
Police spokesman Clifford Molefe confirmed there had been a shooting.
"A 58-year-old woman was shot dead last night at Ha Masana but it is too early to disclose the name of the deceased or whom she is related to," he said.
Detectives are investigating the incident, he added.
Ntsekele said it was too early to know if the shooting would affect Thabane's inauguration.
But Ronnie Mamoepa, spokesman for South African deputy president Cyril Ramaphosa who has played a key mediation role in Lesotho, told broadcaster SABC he hoped the ceremony would go ahead as planned.
Thabane is due to be sworn in at the Setsoto stadium in Maseru, marking the impoverished country's third attempt at a coalition government. Both of the previous joint administrations have collapsed.
Lesotho has a long history of political instability having suffered coups in 1986 and 1991.
The small kingdom was plunged into crisis in 2014 when soldiers attempted to oust Thabane during his last stint as prime minister.
Thabane fled to South Africa, where he spent two years, while the regional bloc SADC stepped in to end the crisis. Early elections took place in 2015.