Media reports identified the woman as 40-year-old Judith D'Souza from the eastern city of Kolkata (Calcutta).
Ms D'Souza is an employee of the NGO Aga Khan Development Network, which works in rural development, health, education and civil society programmes.
It is not known who is responsible or whether a ransom has been sought for her release.
Indian Foreign Minister Sushma Swaraj tweeted that she had spoken to Ms D'Souza's sister.
"We will spare no efforts to rescue her," she said.
"She is your sister and India's daughter. We are doing everything to rescue her."
In June, the Indian Embassy had issued a security alert for Indians residing in Afghanistan and travelling to the country.
In June 2014, Father Alexis Prem Kumar, a Roman Catholic priest from India, was kidnapped by unidentified gunmen in the Afghan city of Herat. He was released in February 2015, but details of his release were not disclosed.
At least four Indians have been released from captivity in the last 13 years in Afghanistan. These include two construction workers who were kidnapped and released in December 2003.
An Indian aid worker has been kidnapped in the Afghan capital, Kabul, Indian officials say.