Lipolelo Thabane died following what appears to be a random shooting on Wednesday night. Her estranged husband was due to step into his new role as Prime Minister of Lesotho later on Thursday. It was unclear whether she died in hospital or at the scene.
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.
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 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.
There is speculation that the shooting could have been politically motivated despite details surrounding the incident remaining unclear.
Furthermore, these dramatic developments have spiked fears of increasing instability in the land-locked mountain kingdom which has gone through a series of crises leading up to the inauguration.
In 2014 Thabane, who won the country's elections earlier this month, fled to South Africa fearing for his life following an attempted coup.
The premier-elect only returned to Mbabane earlier this year, together with two other opposition leaders, after vowing to regain power after previously ruling the country from 2012 to 2015.
On Sunday International Relations and Co-operation Minister, Maite Nkoana-Mashabane, warned that the Southern African Development Community (SADC) would not tolerate any military coup "in any of its corner".
"This was made very, very clear to everyone in Lesotho two weeks ago. They have just had an election a year and a half ago and they have also undertaken to go back to the reforms on the role of the police and the military, which have been supporting leaders from opposing parties which they themselves say has bedevilled focus on governance," she was quoted as saying.
In March Lesotho's parliament passed a vote of no confidence in outgoing Prime Minister Pakalithi Mosili, paving the way for the June 3 election which Thabane won after securing 48 out of 120 parliamentary seats.
Although Thabane's All Basotho Convention (ABC) emerged as the winner in the election with the 48 parliamentary seats, it failed to garner the requisite 61 seats needed to form a government.
This prompted Thabane to say that ABC would form a ruling coalition together with the Alliance Democrats, Basotho National Party and the Reformed Congress of Lesotho.
Thabane's win reverses Lesotho's former deputy prime minister Mothetjoa Metsing teaming up with Mosisili and other smaller parties to oust Thabane two years ago.
Thabane is due to be sworn in at the Setsoto stadium in Maseru on Thursday.
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.
ANA and AFP