Guy Hedger, 61, was killed in the early hours of 30 April in Ashley, near Ringwood.
The 40-year-old woman from Poole has been arrested on suspicion of assisting an offender and handling stolen goods.
She had been previously arrested in May on suspicion of conspiracy to commit murder.
The woman had also been held on suspicion of conspiracy to commit aggravated burglary and had been released while inquiries continued.
Mr Hedger was shot after intruders broke into his home. He was pronounced dead shortly after arriving at hospital.
The shotgun used has not been recovered.
Earlier this week the charity Crimestoppers put up a Â£10,000 reward for information that leads to the recovery of the firearm used and jewellery stolen during the raid.
Kevin Downton, 40, of Winterborne Stickland, near Blandford, Jason Baccus, 41, and Scott Keeping, 44, both of Verney Close, Bournemouth, have been charged with murder and are due at Winchester Crown Court on Wednesday to enter pleas.
A 45-year-old-man from Poole, and a 39-year-old Bournemouth man were arrested in May on suspicion of conspiracy to commit aggravated burglary and released while inquiries continued.
A woman has been re-arrested as part of the investigation into the death of a businessman shot at his home in Dorset.