Hamza Salihu, the state's director of budget was abducted on Sunday along with two aides on a highway in neighbouring Kaduna State -- a region beset by violence between farmers and herders.
The victims were on an official trip when they were ambushed by a kidnapping gang in a "terrible and disturbing" attack, Zamfara government spokesman Yusuf Idris said in a statement.
The gunmen opened fire on the vehicle the victims were travelling in, killing the deputy budget director Kabir Ismail and injuring a female colleague, the spokesman said.
"Bad elements... still use security uniforms to stop and kidnap unsuspecting law-abiding citizens," the statement said.
Kidnapping attacks have surged in the northwest of Nigeria, the home region of President Muhammadu Buhari.
Criminal groups and "bandit" gangs -- stealing livestock, kidnapping and destroying villages -- have capitalised on a lack of security presence in rural areas.
Entire villages have been deserted for fear of raids by criminal gangs which have bases in the dense forest that spreads across northwest Nigeria and into neighbouring Niger.
In the first three months of 2019, nearly half of the kidnappings in the country were in Zamfara, Nigeria's top police official has said.
The security forces launched "Operation Puff Adder" in April to combat kidnappings and armed robberies on roads in northwestern and central Nigeria.
Buhari on Tuesday extended the operation to the south of the country after a string of attacks "as part of a total overhaul of highway security architecture".