The body of Zedi Feruzi, the head of the Union for Peace and Development, was seen lying outside his home.
Burundi has seen weeks of protest against President Pierre Nkurunziza's decision to run for a third term.
Demonstrators are holding a two-day truce, to allow residents to stock up on supplies and bury the dead.
On Friday, at least two people were killed in a grenade attack in Bujumbura.
The unrest has also seen more than 100,000 people flee to neighbouring countries and a failed coup attempt against Mr Nkurunziza.
The leader of a small Burundian opposition party has been shot dead in the capital Bujumbura, witnesses said, as tensions continue in the country.