Zedi Feruzi, the head of the Union for Peace and Development (UPD) was walking home in Bujumbura's Ngagara district when he was attacked, locals told AFP.
An AFP reporter at the scene saw the bloodied bodies of both Feruzi and a police bodyguard lying outside the house soon after the shooting.
Residents said a third person, believed to be another police officer tasked with protecting Feruzi, was seriously injured in the incident.
Around an hour after the attack police had yet to arrive at the scene. Meanwhile, two barricades of tyres were set alight in the district, where local youths were sealing off streets and alleyways to outsiders.
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The killings, a day after a grenade attack on a busy market in the capital killed three people, risk further fuelling tensions in Burundi after weeks of violent protests triggered by the president's controversial bid for a third term.
Earlier today, the streets of the capital had been calm as protesters observed a two-day truce called by opposition leaders to allow residents to stock up on supplies and bury the dead.
Protests are set to resume tomorrow.