Police killed the assailant after a shootout.
Ambassador Andrei Karlov, 62, was several minutes into a speech at the embassy-sponsored exhibition in the Turkish capital of Ankara when a man fired at least eight shots, according to an AP photographer in the audience.
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He also shouted "Allahu akbar".
Interior Minister Suleyman Soylu identified the gunman as Mevlut Mert Altintas.
He said Altintas, who was born in 1994, had been an officer with Ankara's riot police squad for more than two years. Soylu did not give a motive for the attack.
The gunman approached Karlov as he lay on the ground and shot him at least one more time at close range, the AP photographer said. The attacker also smashed several of the framed photos hung for the exhibition, as panicked people ran for cover. Three other people were wounded in the attack, Turkey's NTV television said.
After shooting the ambassador, the gunman climbed to the second floor of the same building and was killed after a 15-minute shootout with police, Turkey's Anadolu news agency reported.
The attack comes a day before a meeting of Russian, Turkish and Iranian foreign and defence ministers in Moscow to discuss Syria. Russia and Iran have backed Syrian President Bashar Assad throughout the nearly six-year conflict, while Turkey has supported Assad's foes.
"It's a tragic day in the history of our country and Russian diplomacy," Russian Foreign Ministry spokeswoman Maria Zakharova said in televised comments.
"Ambassador Karlov has made a lot of personal contributions to the development of ties with Turkey. He has done a lot to overcome a crisis in bilateral relations," she said.
"He was a man who put his heart and his soul into his job. It's a terrible loss for us and also the world."
Karlov joined the diplomatic service in 1976. He served as Russia's ambassador to Pyongyang in 2001-06, and later worked as the chief of the Foreign Ministry's consular department.
He had served as the ambassador to Turkey since 2013. US State Department spokesman John Kirby said US officials were aware of reports about the shooting.
"We condemn this act of violence, whatever its source," Kirby said.
The United Nations also condemned the attack.
"There can be no justification for an attack on an ambassador ... And we very much hope that the perpetrators will be brought to justice," UN spokesman Stephane Dujarric said.
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