He was transported to a hospital in the suburbs of Tunis on Wednesday, where he died of his wounds, his brother confirmed.
"My brother was assassinated. I am desperate and depressed," Abdelmajid Belaid said. The wife of the opposition leader, speaking to Radio Mosaique, said he had been hit by two bullets.
Al Jazeera’s Youssef Gaigi, reporting from Tunis, said the murder came as a shock for many in Tunisia.
"This was clearly a targeted killing of a high profile politician, the first of its kind in this country."
Ziad Lakhader, a leader of the Popular Front, the umbrella organisation of the Democratic Patriots, said Belaid was killed by bullets to the head and chest; "Doctors told us that he has died. This is a sad day for Tunisia."
Belaid had been critical of Tunisia’s leadership, especially the Islamic party Annahda that dominates the government.
He had accused authorities of not doing enough to stop violence by ultraconservatives who have targeted mausoleums, art exhibits and other things seen as out of keeping with their strict interpretation of Islam.
Government spokesperson Samir Dilou called it an "odious crime".
Protesters gathered at the Interior Ministry in Tunis, chanting slogans against the government [Ahmed Janabi/Al Jazeera]
Tunisian President Moncef Marzouki said he would fight those who opposed the political transition in his country after the death of Belaid.
Marzouki, who cut short a visit to France on Wednesday, told lawmakers at the European Parliament in Strasbourg to applause: "We will continue to fight the enemies of the revolution."
The president also cancelled a visit to Egypt scheduled for Thursday after the killing, which brought thousands of protesters onto the streets outside the Interior Ministry.
Chanting for the fall of the Annahda-led government, demonstrators shouted "Shame, shame Shokri died", "Where is the government?", and "The government should fall".
Omar bin Ali, a member of the Tunisian Trade Unions, was present at the demonstration site and said “the Islamists were responsible for Belaid’s death".
"This is what they have been calling for in mosques," Bin Ali told Al Jazeera’s Ahmed Janabi outside of the ministry.
Ruling out the possibility of external factors, Bin Ali said "Tunisia is a friend of all nations. It is hard to think of anyone from abroad to do this to us," adding that "the people want the whole government out as they proved to be useless".
As the number of protesters swelled, security forces fired warning shots and cordoned off the area in the direct vicinity of the ministry.
The killing comes as Tunisia is struggling to maintain stability and revive its economy after its longtime dictator was overthrown in an uprising two years ago.
That revolution set off revolts across the Arab world and unleashed new social and religious tensions.
Annahda won 42 percent of seats in the first post-Arab uprising elections in October 2011 and formed a government in coalition with two secular parties, President Marzouki’s Congress for the Republic and Ettakatol.
However, the government has faced many protests over economic hardship. Hampered by declining trade with the crisis-hit eurozone, it has struggled to deliver the better living standards that many Tunisians had hoped for.
France condemned the murder of Belaid, describing him as a courageous fighter for human rights.
"This murder robs Tunisia of one of its most courageous and free voices," President Francois Hollande said hours after Belaid was shot dead.