Mick Deane, a 61-year-old father of two, had worked at Sky for 15 years. He had been based in Washington and, for the past two years, in Jerusalem.
The head of Sky News, John Ryley, paid tribute to a "talented and experienced" journalist while Prime Minister David Cameron said he was "saddened" by the news.
Deane was shot and wounded while reporting on the crisis in Cairo in a team with the channel's Middle East correspondent Sam Kiley.
The channel's foreign editor Tim Marshall, who was clearly emotional as he described Deane on air, said: "He was a friend. Our hearts go out to his family.
Also Read
"He died doing what he'd been doing so brilliantly for decades."
Sky's political editor Adam Boulton described him as "the nicest, the best, the bravest".
Ryley said: "Everyone at Sky News is shocked and saddened by Mick's death.
"He was a talented and experienced journalist who had worked with Sky News for many years."
Habiba Ahmad Abdel Aziz, a 26-year-old reporter for the Xpress supplement of the Dubai-based Gulf News, died as troops clashed with pro-Morsi protesters.
She was visiting Egypt, her home country, on holiday and was not working at the time.
Reporters Without Borders told AFP that four other journalists, all Egyptians, were injured in today's clashes.
Three were photographers and cameramen while one was a reporter.