At least three rockets were fired at around 6 am, according to a UN statement.
"Preliminary reports indicate that one of them hit a house, killing a woman and injuring two civilians currently being treated at Gao hospital," the statement said.
The superintendent of the city's hospital, Ibrahim Maiga, said a total of three people were injured and "in serious condition."
Residents said they counted about six shells.
The UN mission "strongly condemns this terrorist attack on innocent civilians," its statement said. There was no immediate claim of responsibility.
Northern Mali came under control of separatist rebels and then Islamic extremists linked to al-Qaida following a military coup in 2012. A French-led intervention in early 2013 scattered the extremists but did not drive them out entirely.