Kazbek Gekkiyev, 28, who worked for a local channel of state broadcaster VGTRK, was shot dead in Nalchik, capital of Kabardino-Balkaria province, on Wednesday.
A female witness said two people had got out of a car and asked the presenter, '"Are you TV presenter Kazbek Gekkiyev?" before the shots were fired.
Colleagues were reported as saying they did not understand the motive for the killing. Mr Gekkiyev was not known for reporting on crime or the insurgency.
The Organisation for Security and Co-operation in Europe said last year that the North Caucasus, a mostly Muslim string of provinces in southern Russia, was one of the most dangerous places in the world for journalists.
Other presenters at VGTRK, which usually follows the official line in its reporting, were said to have been taken off the air after receiving threats from local insurgent leaders.
Investigative Committee spokesman Vladimir Markin said the security services were still trying to identify suspects. But he said investigators believed Mr Gekkiyev was killed as "a threat to other journalists speaking about results of the fight against the bandit underground in the republic".
Authorities often refer to insurgents as members of the "bandit underground".
l Bosnia's state court sentenced an Islamist radical to 18 years in prison yesterday for a gun attack on the US embassy in Sarajevo.
The court found Mevlid Jasarevic, a 24-year-old originally from neighbouring Serbia, guilty of organising and committing a terrorist act.
He spent 50 minutes firing from an automatic rifle at the embassy in October last year, seriously wounding a police officer before he was hit by a police sharpshooter.