The animal - said to be a danger to the public - was one of five timber wolves that escaped from Colchester Zoo.
Zoo staff found the perimeter fence damaged and five of the six wolves were missing.
One returned, another was shot with a tranquiliser dart and two more were shot dead but the fifth animal escaped from the zoo grounds.
It was later spotted from a police helicopter in hedgerow just outside the perimeter fence.
An area was cordoned off and the wolf was shot dead by a member of zoo staff on Tuesday afternoon.
The fast-growing wolf cubs who are always hungry
In a statement, the zoo said that keepers were "devastated" at the loss of the wolves, but that the animals had to be shot as they were a danger to the public.
"Unfortunately, an anaesthetic dart takes 15 minutes to take effect and may not work at all in a stressed animal so two wolves that had left the perimeter of the zoo had to be shot," she said.
"They are wild animals and in an unpredictable situation they would have posed a risk to the public.
"The remaining wolf has now been located and very sadly also had to be destroyed."
The statement said the damage to the fence of the wolf enclosure was discovered at 07:30 GMT on Tuesday.
"It is not known at this stage how the damage occurred, despite the fence being routinely checked on a daily basis," it added.
Bryony Williams left the zoo with her children after learning there was a wolf on the loose.
"It's not much fun trying to keep an eye on them (the children) and looking around. Had I been by myself it might have been an adventure."
The lower half of the zoo was closed off in response to the escape as a "precaution", the zoo said.
A wolf that was on the run after escaping from its enclosure at an Essex zoo has been shot dead.