The blast occurred in the remote Hub region in Khuzdar district of the province while devotees were participating in a Sufi dance called "dhamaal" at Dargah Shah Noorani.
"43 people have died and dozens injured in the incident," Balochistan Home Minister Mir Sarfaraz Ahmed Bugti said.
"People who are critically injured in the blast will be transported to Karachi," Bugti was quoted as saying by DawnNews.
The blast happened when about 500 to 600 devotees were present at shrine.
More From This Section
The Express Tribune quoted police sources as saying that the blast was a suicide attack carried out by a 14-year-old boy. No group has claimed responsibility for the attack.
Rescue teams reached the blast site and started shifting the deceased and injured to the hospital. However, rescuers were facing difficulty in accessing the site as the shrine is located in a remote area.
The death toll is feared to rise and women and children were among those killed in the blast.
Local tehsildar Javed Iqbal said security arrangements at the shrine were not proper.
"It is sad that although thousands of devotees from Karachi and other parts of the country visit the shrine everyday but there are no medical emergency facilities or ambulances at the site," he said.
He said the devotees take part in the 'dhamaal' everyday after sunset and the blast took place close to where they were dancing inside the compound of the shrine.
This is not the first time that extremists have targeted a shrine in Balochistan. This is the third major incident of a bombing in the province since August.
In August, about 70 people were killed in a suicide bomb attack outside the civil hospital in the provincial capital Quetta. Last month, 64 police cadets and two army men were killed when three terrorists raided a police training centre in Quetta.