Superintendent of Police Navin Chandra Jha said the assailants fired at Pandey near a bridge at Rasidpur village under the police station killing him on the spot.
Two persons were taken into custody in the connection, he said.
Angry locals held demonstrations and enforced a bandh in the market here to protest against the killing. They burnt tyres and ransacked the hospital here.
Lter, a party delegation led by its Vice-President Suraj Bhan and former RJD MLA Ajit Kumar Jha met Sheohar District Magistrate Anil Kumar and demanded a CBI probe into the killing.