It was not clear whether the man was a South Korean and the military was still trying to recover the body.
South Korean guards had called out to the man to return but he ignored the instructions, jumped into the Imjin River and clung to a buoy to try to float across.
A military official said the shooting was justified as the identity of the man was unknown and he could have been a North Korean soldier.
South and North Korea remain technically at war as the 1950-53 Korean war ended only with an armistice and it is illegal to cross the border to the North without permission.
South Koreans wishing to travel to the reclusive North, accused by Western countries and defectors of systematic human rights violations, generally make their way through China.
The shooting comes amid a thaw in ties between North and South, with the reopening of the jointly-run Kaesong industrial zone in North Korea.