The shooter also wounded another Nepalese colleague, said Hassib Sediqi, acting spokesman for the National Directorate of Security as Afghanistan's intelligence agency is known. It was not immediately clear if the attack was planned or the result of a disagreement, Sediqi said.
A third Nepalese guard was injured when he jumped off the building that was under construction and where the incident happened, he added.
The site is next to the International Organization for Migration and opposite the UN Assistance Mission for Afghanistan. Many international agencies and embassies employ Nepalese security guards.
The perpetrator escaped the scene in Qalat, the provincial capital, taking weapons and vehicles with him, said Ghulam Jalani Farahi, the provincial deputy police chief.
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Taliban spokesman Qari Yousaf later said the insurgent group was behind the attack and that the shooter had joined the insurgents.
Insider attacks are commonplace among Afghanistan's security forces, often carried out by insurgent infiltrators.
Two members of the international military stationed at Kandahar Airfield were shot dead by Afghan colleagues earlier this month. Both were members of Romania's special forces.
Afghanistan's war against the Taliban, who are trying to overthrow the Kabul government, is now in its 15th year. The Taliban have said they will not enter a peace dialogue with the Afghan government.